In 2002, Davalos co-starred with Charlie Hofheimer in the short film The Ghost of F. Scott Fitzgerald, which screened at the 2002 Toronto International Film Festival. In September 2003, she was seen opposite Antonio Banderas in the HBO film And Starring Pancho Villa as Himself. Davalos made her feature film debut in 2004 starring in The Chronicles of Riddick as Jack / Kyra.

Davalos also appeared as the mutant Gwen Raiden in three episodes of the TV show Angel and in 2005 co-starred in the Fox show Reunion. In 2007, she was featured in the romantic drama Feast of Love, which starred Greg Kinnear and Morgan Freeman. She also played Sally in The Mist (directed by Frank Darabont), co-starring Thomas Jane, Laurie Holden and Marcia Gay Harden.

In 2008, Davalos co-starred as the love interest of Daniel Craig in the war film Defiance, directed by Edward Zwick. She played Andromeda in the remake of Clash of the Titans, alongside Sam Worthington, Ralph Fiennes and Liam Neeson. She did not return for the 2012 sequel, Wrath of the Titans, due to a scheduling conflict.

In 2013, she reunited again with Frank Darabont playing the female lead on the television series Mob City. 2 years later, in 2015, she starred in The Man in the High Castle (2015–2019).

In 2019, she has made a brief appearance in The Punisher, along with star Jon Bernthal; both of whom were also in Mob City (2013).

Davalos married actor Josh Stewart on May 19, 2019. Both were costars on the second season of the Netflix series The Punisher.