She made her Broadway debut portraying Ruth Younger in the 2014 revival of Lorraine Hansberry's A Raisin in the Sun for which she won the Tony Award for Best Featured Actress in a Play.

She began her film career in the British coming-of-age drama Young Soul Rebels (1991) before appearing in Ace Ventura: When Nature Calls (1995), and Stephen Frears's Dirty Pretty Things (2002).

She continued acting in films such as Æon Flux (2005), Martian Child (2007), The Secret Life of Bees (2008), Skin (2008), Christopher Robin (2018), Wild Rose (2018), and Death on the Nile (2022).

In 2010, Okonedo portrayed Liz Ten (Queen Elizabeth X) in the BBC TV series Doctor Who episodes "The Beast Below" and again briefly in "The Pandorica Opens".

Okonedo played the role of Jenny in Danny Brocklehurst's BAFTA TV Award nominated episode of Paul Abbott's series Clocking Off.

She played alongside Queen Latifah, Jennifer Hudson, Alicia Keys and Dakota Fanning as May Boatwright, a woman who struggles with depression, in the film The Secret Life of Bees (2008); opposite Sam Neill and Alice Krige as Sandra Laing in Skin (2009); and portrayed Winnie Mandela in the BBC drama Mrs. Mandela broadcast in January 2010.

[18][19] In 2016, Okonedo returned to Broadway in Ivo van Hove's production of Arthur Miller's The Crucible at the Walter Kerr Theatre as Elizabeth Proctor opposite Bill Camp, Tavi Gevinson, Jason Butler Harner, Ciarán Hinds, Jim Norton, Saoirse Ronan, Thomas Jay Ryan and Ben Whishaw.

Directed by Ian Rickson and also starring Damian Lewis as Martin, the production's first preview was on 24 March 2017, opening night on 5 April 2017, and final performance on 24 June 2017, at the Theatre Royal Haymarket.

In May 2013, Okonedo played the role of Hunter in a BBC radio production of Neil Gaiman's Neverwhere, adapted by Dirk Maggs.