Her breakout film role came in Tina Mabry's 2009 indie film Mississippi Damned. In film, she starred as Nyla Adrose in the drama For Colored Girls (2010), civil rights activist Diane Nash in the historical drama Selma (2014), Bianca in the sports drama Creed (2015), and as Valkyrie in the superhero film Thor: Ragnarok (2017). On television, Thompson starred as Jackie Cook in the mystery drama Veronica Mars (2005–2006), Sara Freeman in the period crime drama Copper (2012–2013), and Charlotte Hale in the HBO science-fiction thriller series Westworld (2016–present).