She is known for playing the roles of Gwenny in House of America (1997), Mrs. Nice in Guest House Paradiso (1999), Maureen in Pride (2014), Mrs. Dai Bread 1 in Under Milk Wood (2015), Cynthia in the Netflix original television series Sex Education and Eleanor James in the Sky One original television series COBRA.

[1] Palfrey started acting at the age of 20 when she played the role of 15-year-old girl, Jane Sanderson, in the BBC One television series The District Nurse.

[4] Palfrey has performed in a number of plays, including the original production of David Eldridge's Festen,[5] The Iceman Cometh,[6] Under The Blue Sky,[7] and Tom Wells's The Kitchen Sink.

In 2020, Palfrey played the role of government minister Eleanor James in the Sky One original television drama series COBRA, written by Ben Richards and starring Robert Carlyle as British Prime Minister Robert Sutherland.

In 2023 she filmed the BBC television feature Men Up, about the first clinical trials for the drug Viagra that took place in Swansea in 1994.