Walter began her career acting with the Royal Shakespeare Company in productions of Twelfth Night (1987–88) and Three Sisters (1988), for which she received the Olivier Award for Best Actress.

On television she starred as Harriet Vane in the 1987 BBC Wimsey dramatisations and as Natalie Chandler in the ITV drama series Law & Order: UK from 2009 to 2014.

Walter's films include Sense and Sensibility (1995), Bedrooms and Hallways (1998), The Governess (1998), Onegin (1999), Villa des Roses (2002) and Bright Young Things (2003).

In 1987, she portrayed Harriet Vane in three instalments of the BBC's A Dorothy L. Sayers Mystery, and played Detective Inspector Natalie Chandler from 2009 to 2012 in the ITV drama series Law & Order: UK.

Other television roles include Waking the Dead (2001), Little Dorrit (2008), A Short Stay in Switzerland (2009) and Lady Shackleton in four episodes of the series Downton Abbey (2013–15).

She was set to reprise both roles, as well as playing Prospero in an all-female production of The Tempest, as part of director Phyllida Lloyd's Shakespeare trilogy at the Donmar's temporary, in-the-round, 420-seat theatre next to King's Cross station in 2016.

[11] She was conflicted on her damehood and nearly turned it down,[12] but eventually decided to accept because "there are many fewer women [than men] who can sustain a career to the point where they can be named a dame, and that's not through lack of talent.

[14] Walter, who speaks Russian, performed a reading at the 2022 Poets for Ukraine event alongside the likes of Juliet Stevenson and Meera Syal.

Her performance in Mary Stuart at the Donmar Warehouse transferred to Broadway, where it was nominated for numerous Tony Awards, including Best Actress nods for her and her co-star Janet McTeer.