Gyllenhaal's first film roles were directed by her father: Waterland (1992), her feature film debut, A Dangerous Woman (1993), and Homegrown (1998); the latter two also featured her brother. After graduating from college, she had a number of supporting roles, in such films as 40 Days and 40 Nights, Riding in Cars with Boys, and Cecil B. Demented. Paper magazine has described these roles, including her casting as Donnie Darko's sister opposite real-life brother Jake, as "the girl you're not supposed to notice".

Gyllenhaal's break-out role was in the black comedy Secretary (2002), a film about two people who embark on a mutually fulfilling BDSM lifestyle. The film earned Gyllenhaal widely-spread acclaim including a Golden Globe nomination, and marked the first time Gyllenhaal performed full frontal nudity on camera. Although impressed with the script, Gyllenhaal initially had some qualms about doing the film, which she believed could deliver an antifeminist message. Yet after ca