After spending some time touring in Australia, Baddeley established herself as a popular stage Actress. At the beginning of the 1930s she appeared in two films, the Sherlock Holmes tale, The Speckled Band (1931), featuring Raymond Massey as Sir Arthur Conan Doyle's sleuth, and in The Ghost Train (also 1931), a screen version of the successful stage thriller. Later in the decade, Baddeley had a role in the MGM-British film, The Citadel (1938), an adaptation of A. J. Cronin's novel directed by King Vidor. Throughout the 1940s, she played many strong female roles on stage, including Miss Prue in Love for Love and Nora in The Winslow Boy.