Vega left home to attend the Centro Andaluz de Teatro, a prominent acting school near Seville. After two years of studying acting, and another two studying journalism, Vega moved to Madrid to pursue her dream. She spent much of her time auditioning and working at a bar before appearing in three episodes of the Spanish series “Menudo es mi Padre” (1997). She soon found consistent work playing Olga on the sitcom “Más Que Amigos” (1997), but was lost in the shuffle on her next project, the ensemble series “Compañeros” (1998). Meanwhile, Vega appeared in her first feature film, “Zapping” (1999), a satirical thriller about the power of television and its affect on people’s lives. Vega played Elvira, new girlfriend to Alberto (Alberto San Juan), who is stalked by an old flame hiding in the couple’s apartment. The film was not well-received in Spain, though many felt it had a unique visual style.
Returning to television, Vega appeared on the popular award-winning sitcom, “7 Vidas” (Telecino, 1999- ). The show had a constant turnover in cast, and Vega left after two seasons. The actress made another feature, “Nadie Conoce a Nadie” (“Nobody Knows Anybody”, 1999), a psychological thriller directed by Mateo Gil, writer of “Open Your Eyes” (1999). In “Solo Mia” (2001), Vega played Angela, an abused wife who takes matters into her own hands after friends and police fail to help. She was nominated for a Goya—Spain’s equivalent of the Oscar—for Best Actress. That same year Vega gained international recognition with her role in “Sex and Lucia” (2001). In this erotic, though sometimes confusing drama, Vega played Lucia, a waitress who flees to the island paradise of her dead lover’s dreams, where she meets two others with a connection to her former love. The film made the festival rounds—Sundance, Seattle, Rotterdam, Toronto—and earned Vega a Goya for Best New Actress the same year she was nominated for “Solo Mia”—the first time in Spanish Academy history that an actress was nominated in two different categories for two different roles.
Acclaimed Spanish director Pedro Almodovar took notice and cast Vega in a small role in “Talk To Her” (2002), his offbeat, Oscar-winning drama about new friendship in the midst of unrequited love. In “The Other Side of the Bed” (2003), the year’s highest-grossing film in Spain, Vega sang and danced her way through her quest for love and happiness. She next took the title role in a rendition of “Carmen” (2003), another box office success in Spain, directed by Vincente Aranda. Finally, Vega crossed over to English-language films in “Spanglish” (2004), a romantic comedy starring Adam Sandler and Tea Leoni, and directed by James L. Brooks. Vega played Flor, a housekeeper who speaks no English. Flor and John (Sandler), head of the Clasky household, fall in love despite the language barrier. The connection forces the two to re-evaluate their lives and solve their respective familial problems. The film received mixed reviews, but most critics unanimously praised Vega's performance, and predicted big things for her now that she had arrived in Hollywood.