In 2001 Kelly married choreographer Nick Winston. They divorced after seven years of marriage. On 24 January 2019, she married Sean Helleren in Maui, Hawaii. On 23 October 2019, she gave birth to their son, Raphael Benjamin Helleren.

Mary Poppins premiered in September 2004 at the Bristol Hippodrome, followed in December by its opening in the West End at the Prince Edward Theatre. For her role as the title character, Kelly earned rave reviews as well as the 2005 Olivier Award for Best Actress in a Musical. She left Mary Poppins on 29 October 2005 after more than 400 performances and was succeeded by Scarlett Strallen. Kelly then went to Singapore to star in a revival of A Twist of Fate in November 2005, produced by the Singapore Repertory Company. It also starred Anthony Drewe (who co-wrote the music with Singaporean composer Dick Lee).

In 2006 she returned to the London stage performing in A Tribute to Dirty Dancing at Kenwood House and Marble Hill. Kelly and Michael Ball performed at the Hackney Empire on 1 August 2006 to celebrate Anthony Newley for BBC Radio Two which was broadcast on 29 September 2006. Kelly was the Special Guest for Jools Holland and His Rhythm and Blues Orchestra on tour during December 2006. On 27 August 2007, Kelly made her BBC Proms debut, performing “The Prayer” from the film Quest for Camelot alongside Michael Ball.

Kelly released her debut single, “There Was A Time”, through EMIs Angel label for download only on 17 April 2006. The single enjoyed Record of the Week status on BBC Radio 2. This single is from her debut solo album, The Storm Inside which was released on 1 May 2006. The album includes six original songs and six covers, including three songs which Kelly wrote herself and a cover of Keane’s “Somewhere Only We Know”, which predated the Lily Allen cover and has a similar arrangement.

During 2007–08, Kelly played the role of Galadriel in the original London production of The Lord of the Rings – The Musical at Theatre Royal, Drury Lane. The show began previews on 9 May 2007, with an official opening night of 19 June 2007. Kelly played her final performance on 2 February 2008, and was replaced by Abbie Osman.

A new single, “What’s It All For?” (written by singer Judie Tzuke) was released as a digital download on 5 March 2007. It was followed by the release of her album, also titled What’s It All For?, with the three new tracks and a selection of others from The Storm Inside, which was released in 2006.

Kelly made her feature film debut in 2007 as Lucy Barker in the Tim Burton/DreamWorks film Sweeney Todd.

Kelly appeared alongside Kevin Spacey and Jeff Goldblum in David Mamet’s play Speed-the-Plow at London’s Old Vic theatre from 1 February to 26 April 2008 and at the Ruhrfestspiele in Recklinghausen, Germany, in May 2008.

Kelly and former London co-star Gavin Lee performed as Mary Poppins and Bert in the America Celebrates 4 July at Ford’s Theatre in front of President Barack Obama and First Lady Michelle Obama on 6 June 2010. The special aired on 2 July 2010 on ABC. Kelly once again reunited with Lee when he returned to the role of Bert in the Broadway production of Mary Poppins on 24 August 2010.

Beginning 12 October 2009, Kelly reprised the role of Mary Poppins at the New Amsterdam Theatre on Broadway, replacing Scarlett Strallen. Kelly temporarily left the cast of Mary Poppins on 6 March 2011, where she was replaced by originator Ashley Brown, to shoot a film. She returned to the production on 19 July 2011. She played her final performance on 9 October 2011 and was replaced by Steffanie Leigh.

She reprised the role of Eliza in a concert version of My Fair Lady at the Kennedy Center in Washington D.C. on 5 May 2013.

Her first starring role was in the 2013 film Goddess, playing a mother of young twins in an isolated farmhouse in Tasmania, who finds unexpected fame when performances of her songs go viral on the Internet without the knowledge of her absent husband, played by Ronan Keating.

On 2 June 2014, it was announced that Kelly would star as Sylvia Llewelyn Davies in the world premiere of the new musical, Finding Neverland, which played at the American Repertory Theater from July through September 2014. She reprised the role in the Broadway production, which opened on 15 April 2015 at the Lunt-Fontanne Theatre. She stayed with the production until it closed on 21 August 2016.

In November 2016, Kelly began a North American tour starring as Anna Leonowens in The King and I. She stayed with the show until 17 March 2018.

In 2018, she was announced as the lead in the Encores! production of Me and My Girl, alongside former Mary Poppins co-star Christian Borle.

She plays the role of Julie, one of the Cavendish family, in the musical The Royal Family of Broadway at the Barrington Stage Company (Massachusetts) in June 2018 to July 2018.