Del Rey's first appearance was in the short film Poolside (2010) as Lisa, a rich girl who spends her days smoking cigarettes by the pool.

Del Rey then went on to write the treatment for two music films, Ride (2012) and Tropico (2013), which were directed by Anthony Mandler.

In 2015, Del Rey served as the executive producer of the film Hi, How Are You Daniel Johnston?.

She then made appearances as a performer in Tower of Song: A Memorial Tribute to Leonard Cohen and in The King as herself.

Since then, she has directed more music videos, as well as the short film Freak (2016), which she also wrote, and starred as Pamela Courson, alongside Father John Misty, who played her lover, the Doors lead singer, Jim Morrison.