Malone appeared in the independent psychological thriller "Donnie Darko" (2001), which became a cult film, as well as the drama "Life as a House", and the miniseries "" (2003). She subsequently starred in the dark comedy "Saved!" (2004) before being cast as Lydia Bennet in Joe Wright's adaptation of Jane Austen's "Pride & Prejudice" (2005). Malone continued to appear in both independent and mainstream features throughout the 2000s, with supporting roles in the dramas "The Ballad of Jack and Rose" (2005), "Into the Wild" (2007), and the horror film "The Ruins" (2008). In the late 2000s Malone ventured into music, releasing a single as Jena Malone and the Blood Stains in 2007. The following year she began performing street shows with a musical project called The Shoe, which features Malone performing with various instruments contained in a steamer trunk.