As a lot has been said on this topic, I just want to clarify a few things-
With respect to Jennifer Connelly
1.) Labyrinth was not Jennifer Connelly's first feature film role, and nor was it her first main part. Her first film part was in Sergio Leone's Once Upon A Time In America (1984), which was filmed when she was eleven. She played the lead in Dario Argento's Phenomena (1985), which she filmed when she was thirteen years old. Finallly, she also took the main part in a teeny-bopper movie called Seven Minutes In Heaven which was likewise released in 1985.
2.) Out of all of her early films, the only one where it's plain Jennifer is ashamed of it is Phenomena. Whenever it's brought up, she changes the subject.
3.) Jennifer appears to have loved the people she worked with on Labyrinth, although she went through an 'emotionally rough' period when making the film. I quote from Starlog magazine, July 1991-
“I was 15 [sic, Jennifer was actually 14] years old, and it was my first experience with a movie that was so vast. It was a really big responsibility and a huge role. I was in almost every scene and, often, I was the only the human in those scenes. It was rough. I remember sometimes feeling emotionally at odds with what was happening.
“But I was lucky in that I was working with some real good people. Jim Henson was a very positive director who had a way of drawing the best out of you. And David [Bowie] was a very smart person who would always encourage me to try new things. I was feeling emotionally alone in the woods during much of Labyrinth, but they made things a whole lot easier.”
4. Jennifer appears to have much more positive feelings towards the film now (either that, or her publicist has told her to pretend she does). This is from an interview with Empire magazine from January 2011-
EM – Other of your movies as well obviously, but Labyrinth has a special place in a lot of people’s hearts because they remember it from childhood.
JC – yeah, it’s kind of like the end of the period of making children’s movies in that way. He was so brilliant, Jim Henson. And it was David Bowie – how cool is that?
5.) The most consistent opinion to come through from Jennifer is that she finds it embarrassing to watch such a young version of herself walking and talking on screen. She's described her own acting as 'bratty' - I've always got the impression she's being self-critical rather than critical of the film itself.
With respect to David Bowie
1.) It is harder to gauge David's opinion of Labyrinth, as he has rarely discussed it and hasn't given an interview for the best part of 10 years.
2.) The only post-1986 interview where Bowie gives an opinion of Labyrinth is from a 1987 TV interview with Kay Rush-
KR: [Both have just been talking about the Lolita theme of Beat on your Drum] Isn’t that what Labyrinth was a bit about? Sort of a fairy tale Lolita?
DB: I think that was in Jim Henson’s mind, it was certainly in my mind whilst we were making it. I, I thought that was probably a plausible subtext to what he was doing, but, um, Jim had a lot of ideas going in that movie, I think maybe one too many [laughs], but it became a bit too jumbly for me. But it was fun to do, I guess. It wasn’t my favorite film to do.
3.) It certainly doesn't seem like he hates the film, just found it uneven. And he must be somewhat fond of the soundtrack as he included As The World Falls Down on a complication of songs dedicated to his wife.
Some of this has probably been mentioned, but I just thought it would be good to do a post covering all the information than I'm aware of.