Day made her first film appearance with her sister in the 1924 Mack Sennett comedy Picking Peaches before being cast in a string of comedy shorts opposite actor Harry Langdon and a stint in early Hollywood Westerns opposite such silent film cowboy stars as Hoot Gibson, Art Acord and Jack Hoxie.

In 1926, Day was named one of the 13 WAMPAS Baby Stars, a promotional campaign sponsored by the Western Association of Motion Picture Advertisers in the United States, which honored 13 young women each year who they believed to be on the threshold of movie stardom.

Other notable recipients that year were Joan Crawford, Mary Astor, Janet Gaynor, and Dolores del Río.

The publicity from the campaign added to Day's popularity, and in 1927, she appeared opposite John Barrymore in the romantic adventure The Beloved Rogue.

Day is probably best recalled for her appearances in the now lost 1927 horror classic London After Midnight directed by Tod Browning with Lon Chaney and Conrad Nagel, her role as Sally Richards in the 1928 comedy The Cameraman with Buster Keaton, and the 1929 drama The Jazz Age with Douglas Fairbanks Jr. By the late 1920s, Day's career had eclipsed the career of her sister Alice, who also was a popular actress.