After graduating from the Guildhall School of Music and Drama, Dockery made her professional stage debut in His Dark Materials in 2004.

[9] In 2006, she was nominated for the Ian Charleson Award for her performance as Dina Dorf in Pillars of the Community at the National Theatre.

[16] Dockery came to public prominence in 2010 when she played Lady Mary Crawley in Julian Fellowes' series Downton Abbey.

In 2012, she appeared as Princess Myagkaya in the film adaptation of Anna Karenina and starred with Charlotte Rampling in a two-part dramatisation of William Boyd's spy thriller Restless on BBC One.

[20] In January 2014, she appeared in the action thriller feature film Non-Stop alongside co-stars Liam Neeson, Julianne Moore, and Lupita Nyong'o.

[23] In 2014, Dockery was listed in The Sunday Times Britain's 500 Most Influential People, which is a compilation of the most significant individuals in the UK who have demonstrated outstanding qualities of influence, achievement and inspiration.

[24][25] In a departure from her portrayal of Lady Mary in Downton Abbey, Dockery advanced her Hollywood career with a 2015 performance in the sci-fi thriller feature film Self/less, with Ryan Reynolds.

Letty is a drug-addicted thief and con-artist who, released early from prison on good behaviour, is attempting to get her life under control.

Her efforts are complicated by a chance meeting and subsequent entanglement with a charismatic hitman, played by Juan Diego Botto.

[30] In 2019, Dockery reprised her lead role as Lady Mary Crawley in the Downton Abbey film, alongside Hugh Bonneville and Maggie Smith.

Later in 2019, Dockery appeared in The Gentlemen, directed by Guy Ritchie, as the wife of a drug baron played by Matthew McConaughey.

She sang at the 50th Anniversary of Ronnie Scott's Jazz Club in London and has occasionally sung with Sadie and the Hotheads, a band formed by Elizabeth McGovern, who played her mother in Downton Abbey.