Last September, Davalos was seen opposite Antonio Banderas in the HBO original movie (And Starring Pancho Villa as Himself). Directed by Bruce Beresford, the movie is based on the tru story of Mexican revolutionary Pancho Villa, who made a deal with legendary Hollywood director D.W. Griffith and Harry Aitken to help the filmmakers stage the 1-st Hollywood action film by essentially putting the cameras right in the middle of battle. Davalos played Teddy Sampson, a young actress starring in the movie who acting chops allowed her to portray someone else after cameras stopped playing. Jim Broadbent and Eion Bailey also starred. (And Starring Pancho Villa as Himself) was nominated for a Critic's Choice Award.

In 2002, Davalos starred in (The Ghost of F. Scott Fitzgerald,) Charles Lyon's directorial debut. This movie follows James Powell, a college senior, who falls for Bess Gunther, played by Davalos, a sophomore. However, the attractive Bess is deeply folling in love with F. Scott Fitzgerald, or (Scotty), as she likes to call him. The obsession leads Bess down a road James prefers not to follow. Some years later, he wonders whether the one that got away. Charlie Hofheimer also stars. The movie was an official selection to the 2002 Toronto Film Festival.

Same year, Davalos starred in Disturbing the Peace, the directorial debut of noted writer Mark Bomback for the 2002 Sundance Institute's Director's Lab. The project is writer/director Bomback's adaptation of a Richard Yates novel. Story follows a suburbanite who thinks his life should be so extraordinary he makes rash decisions in the hopes of attaining it. Davalos stars as a young girl who has an affair with him to test the boundaries of her power over men.

Girl is the daughter of actress Elyssa Davalos, Alexa Davalos, a former France model, has appeared in such movies as The Chronicles of Riddick (2004), And Starring Pancho Villa as Himself (2003, TV), and The Ghost of F. Scott Fitzgerald (2002). Her notable TV guest appearances includ Angel and Undeclared.