[5][6] Ambrose began her career in New York theater, starring in the Off-Broadway play Soulful Scream of a Chosen Son at the Vineyard Theatre from August to September 1990.

[7][8] Her early career also included television appearances, most notably playing supporting guest roles in the NBC crime drama series Law & Order, and a feature guest role on the show in the 1998 episode "Damaged" as Valerie Maxwell, an intellectually disabled young woman raped by a group of popular high school students.

Ambrose gained wider recognition and critical acclaim for her starring role as Claire Fisher in the HBO drama series Six Feet Under (2001–2005).

[10] In 2008, she had a starring role as Coco Tompkins in the Fox comedy series The Return of Jezebel James, which was created by Amy Sherman-Palladino.

[11] Ambrose returned to Broadway in the 2009 revival of Eugène Ionesco's Exit the King at the Ethel Barrymore Theatre, opposite Geoffrey Rush and Susan Sarandon.

She played Jilly Kitzinger, a "sweet-talking PR genius with a heart of stone who's just cornered the most important client of her career and maybe of all time".

She was set to play Fanny Brice in a 2012 Broadway revival of Funny Girl, directed by Bartlett Sher, but the production was indefinitely postponed due to financial concerns.

[15] Ambrose made numerous TV appearances, including roles in the A&E miniseries Coma (2012), the Adult Swim animated series Robot Chicken (2013), the NBC crime drama series Law & Order: Special Victims Unit (2013), the Lifetime television film Deliverance Creek (2014), and the USA Network miniseries Dig (2015).

In March 2018, Ambrose began a leading role as Eliza Doolittle in the Broadway revival of My Fair Lady at the Vivian Beaumont Theatre, directed by Bartlett Sher.

In October 2018, Ambrose left My Fair Lady to take on the lead role as Dorothy Turner in the psychological horror series Servant, which was produced by M. Night Shyamalan and Tony Basgallop for Apple TV+.

In 2023, Ambrose began starring in the Showtime drama thriller series Yellowjackets, portraying the adult version of the character Vanessa "Van" Palmer.