Depp next appeared in Netflix short documentary Period. End of Sentence. with Priyanka Chopra explaining how The Pad Project helped the women in Delhi start their own business making sanitary pads. The documentary won Academy Award for Best Documentary (Short Subject) at the 91st Academy Awards. It was distributed by Netflix in February 2019. In April 2019, Depp was nominated for Most Promising Actress at Romy Schneider Award.
In June 2019, Depp starred alongside her aunt Alysson Paradis in the French independent short film Quel Joli Temps Pour Jouer Ses Vingt-ans (My Last Lullaby), in which Depp played Paloma, a girl who experiences a great loss of a grandfather. The film won Best Picture at the 2019 New York Film Awards, and Best Narrative Short at the 2019 Los Angeles Film Awards. Mor Cohen of the New York Film Awards wrote, "Great performances by all actors, lead by Lily-Rose Depp, who were so nuanced and intuitive that it was hard to remember these are fictional characters and not real people". For her performance in My Last Lullaby, Depp won best actress award at the 2019 Los Angeles Film Awards. Les Brandt for the Los Angeles Film Awards noted, "Depp displays sonic waves of artistic expression with her eyes and internal work that was so subtle yet massively powerful and at such a young age was an exciting thing to watch."
Depp next starred opposite Timothée Chalamet and Robert Pattinson in The King in which she plays Catherine of Valois, directed by David Michôd. It had its world premiere at the Venice Film Festival in September 2019 and has been distributed by Netflix since November 2019. Owen Gleiberman of Variety wrote, "Lily Rose-Depp makes her presence felt, for perhaps the first time ever, as Catherine of Valois, whose delicate worldliness matches Henry’s", and Rory O'Connor for The Film Stage called it "an excellent cameo".