Although her acting career began in Budapest, and she later worked in France, Austria, and Germany, Bánky was best known for her roles in the American films The Eagle and The Son of the Sheik with Rudolph Valentino, and for several romantic teamings with Ronald Colman.

The New York Times remarked in its review of her first American film, The Dark Angel (1925), that she "is a young person of rare beauty ... so exquisite that one is not in the least surprised that she is never forgotten by Hillary Trent"[4] (the movie's leading male character who decides to allow his family and fiancée to believe him dead rather than place what he perceives as the burden on them of a life caring for a blinded war veteran).

It is commonly believed that her thick Hungarian accent led, with the advent of sound, to her career being cut short; however, she began losing interest in films and wanted to settle down with Rod La Rocque and simply be his wife.

Of her 24 films, eight exist in their entirety (Hotel Potemkin, Der Zirkuskönig (The King of the Circus) with Max Linder, The Son of the Sheik, The Eagle, The Winning of Barbara Worth, The Night of Love, A Lady to Love, and The Rebel), and three exist in fragments (Tavaszi szerelem in scattered bits, the first five reels of The Magic Flame, and an incomplete copy of Two Lovers).

The couple had no children, but established the Banky-La Rocque Foundation to fund various educational and artistic endeavors, which donated millions well after Bánky died.