Lenox appeared in Doubt: A Parable on Broadway in 2005 as Mrs. Muller. She won the Tony Award, Best Performance by a Featured Actress in a Play, for this performance. Other Broadway appearances include Hattie in the Broadway revival of Kiss Me, Kate in 1999,a revue, The Gershwins' Fascinating Rhythm in 1999, Caroline, or Change in 2004 as standby for "Caroline Thibodeaux", and Chicago as the Matron (Replacement from August 2007 to October 2007). She appears on Broadway in After Midnight, starting in October 2013, reprising her role in the New York City CenterEncores! staged revue Cotton Club Parade.
She has appeared in many Off-Broadway productions, starting with Beehive in 1986 at the Village Gate (Upstairs). She appeared in the "drama with music", Dinah Was in May 1998 to January 1999 at the Gramercy Theatre in the roles of Maye/Waitress/Violet, and won the Obie Award, Performance (1997-1998).