Vanbrugh continued acting steadily until 1939, playing with much success in "Thunder in the Air" as Mrs Vexted in 1928. She also appeared in three further films during the 1930s, including "Pygmalion" (1938), together with Leslie Howard and Wendy Hiller. In her 50th season on stage, she starred in "The Merry Wives of Windsor" at The Ring Blackfriars (playing Mistress Ford to her sister's Mistress Page), and the Open Air Theatre, Regent's Park. Her last film appearance was in 1940 in "Young Man's Fancy". During the Battle of Britain, the Vanbrugh sisters carried out what a biographer calls "a characteristic piece of war work" by giving, with Donald Wolfit, lunchtime performances of extracts from "The Merry Wives of Windsor" at the Strand Theatre.