Her appearance in theatre lessens in the second half of the 1990s, and she devotes herself to the film industry. This stage of her acting is quite successful for her, as Cayetana works on the well-known films All About My Mother, The Wound of Light and The Grandfather, starring the latter ones, where she worked with her father. Thanks to her role in The Wound of Light, which was nominated for the Academy Award, she was nominated for the Spanish Goya Award for Best Actress.