Her notable roles include Anne Neville in The White Queen (2013), the recurring character Candice in Fresh Meat (2013), Steph in the film Pride (2014), Amy in Need for Speed (2015), The Waif in the fifth and sixth seasons of Game of Thrones (2015–2016), Blue Colson in the Black Mirror episode "Hated in the Nation" (2016), and Vel Sartha in Andor (2022).

Marsay went on to Prior Pursglove College, before joining the Bristol Old Vic Theatre School, where she played the roles of Sissy Jupe in Hard Times, First Wyrd Sister and Fleance in Macbeth, Runt in Disco Pigs, and Shen Te in The Good Soul of Szechuan.

Coleman changed her mind during filming and an additional final scene was added at the last minute, reversing her exit, and leaving Shona to her current life.

[12] In 2017 Marsay costarred in Daisy Aitkens' debut feature You, Me and Him with Lucy Punch and David Tennant, and appeared in the film Darkest Hour, starring Gary Oldman.

She also appeared in a revival of Jim Cartwright's play Road at the Royal Court Theatre[13] In December 2017, Marsay starred in ITV drama Bancroft alongside Sarah Parish.

In 2019, Marsay played the role of DC Joanne Aspinall in the ITV six-part drama Deep Water, starring Anna Friel, Rosalind Eleazar, and Sinead Keenan.

Later, she portrayed Hilda Reid in Laure de Clermont-Tonnerre's adaptation of Lady Chatterley's Lover, starring Emma Corrin and Jack O'Connell.

2023 saw Marsay star next to Warren Brown and Michelle Keegan as Annie Roberts in Ten Pound Poms about a group of British citizens who leave their home for Australia in search of a better life.