Popsugar Celebrity British Celebrities What Has Lena Headey Been In? 10 Places You've Seen Game of Thrones' Lena Headey Before 21 April 2018 by Morgane Le Caer View On One Page Photo 8 of 10 ADVERTISEMENT () Start Slideshow Share This Link Copy ← Use Arrow Keys → 8 The Purge, 2013 In this 2013 horror film, Lena Headey plays the role of Mary Sandin. Previous Next Start Slideshow British CelebritiesFilmsCelebrity FactsGame Of ThronesLena HeadeyCinema