Her first husband was attorney Leo Panzirer, whom she divorced in 1952. Their only son was Jay (1940–1982), who had four children with his wife, Mimi. Leona was twice married to and divorced from her second husband, garment industry executive Joseph Lubin. After a brief period at a sewing factory, she joined a New York real estate firm, where she eventually became vice-president.

Roberts was a real estate salesperson in 1964 when Abe Hirschfeld hired her to sit in the lobby and sell at 925 Park Avenue in New York. She was a condominium broker in 1968 when she met and began her involvement with the then-married multi-millionaire real estate entrepreneur Harry Helmsley. In 1970, she joined one of Helmsley’s brokerage firms—Brown, Harris, Stevens—as a senior vice-president. At that time, she was already a millionaire in her own right. Helmsley divorced his wife of 33 years and married Roberts on April 8, 1972. Roberts’s marriage to Helmsley may well have saved her career. Late in 1971, several of her tenants sued her for forcing the tenants of one of the apartments she managed to buy condominiums. They won, and she was forced not only to compensate the tenants but to give them three-year leases. Her real estate license was also suspended, so she focused on running Helmsley’s growing hotel empire.

She was a chain smoker, consuming several packs a day. Helmsley would later claim that she appeared in billboard ads for Chesterfield cigarettes, but her claim remains unsubstantiated. She was linked romantically to St. Louis radio personality "Iggy" Strode in the 1980s.

On March 31, 1982, Helmsley’s only child, Jay Panzirer, died of a heart attack resulting from arrhythmia. Her son’s widow, who lived in a property that Helmsley owned, received an eviction notice shortly after his funeral. Helmsley successfully sued her son’s estate for money and property that she claimed he had borrowed, and she was ultimately awarded $146,092.

In 1983, the Helmsleys bought Dunnellen Hall, a 21-room mansion in Greenwich, Connecticut, to use as a weekend retreat. The property cost $11 million, but the Helmsleys wanted to make it even more luxurious. The work included a $1 million dance floor, a silver clock, and a mahogany card table.

The remodeling bills came to $8 million, which the Helmsleys were loath to pay. A group of contractors sued the Helmsleys for non-payment; the Helmsleys eventually paid off most of the debt owed to the contractors. In 1985, during those proceedings, the contractors revealed that most of their work was being illegally billed to the Helmsleys’ hotels as business expenses. The contractors sent a stack of the falsified invoices to the New York Post to prove that the Helmsleys were trying to avoid tax liabilities. The resulting Post story led to a federal criminal investigation. Also, Jeremiah McCarthy, the Helmsleys’ executive engineer, alleged that Leona repeatedly demanded that he sign invoices to bill personal expenses to the Helmsley company and, when McCarthy declined to do so, Helmsley exploded with tyrannical outbursts, shouting, "You’re not my fucking partner! You’ll sign what I tell you to sign." In 1988, then United States Attorney Rudy Giuliani indicted the Helmsleys and two of their associates on several tax-related charges, as well as extortion.