Dockery is the youngest of three daughters of Michael Dockery and his wife Lorraine.
Dockery grew up in Romford, East London. She went to school in Chadwell Heath, to the Chadwell Heath Foundation School (later known as Chadwell Heath Academy).They later went to the Finch Stage School and Guildhall School of Music and Drama.
Dockery was a member of the National Youth Theatre. She studied at the Guildhall School of Music and Drama, where she won a Gold Medal (gold medal) for her drama.She was nominated several times for a number of awards, including the Ian Charleson Awards. She was nominated for her role in the play Pillars of the Community carried out by the Royal National Theatre, where she also played. She won the second prize at the Ian Charleson Awards.
Dockery played in several theatre plays, including the role of Ophelia in Hamlet in 2010.
Dockery made her television debut in the two-part drama series Fingersmith on the BBC. She is now best known for her role as Lady Mary Crawley in the drama series Downton Abbey, broadcast by the ITV.
Dockery is also her acting work to-outdoor-jazz singer. She sang frequently with "Sadie and the Hotheads", a band founded by Elizabeth McGovern, who also plays her mother Cora Crawley in Downton Abbey.