Kathy Burke directed Jules in Debbie Tucker Green's Born Bad at the Hampstead Theatre, and Jules has also performed in Eve Ensler's Vagina Monologues over 100 times in the West End and elsewhere. She has performed in a variety of leading roles at the Almeida Theatre, notably in A Chain Play, Theodore Ward's Big White Fog and Harold Pinter's The Homecoming, both directed by Michael Attenborough, and in 2010 Indhu Rubasingham directed her in Lynn Nottage's Ruined. In 2009 she played Jane Pilkings in Wole Soyinka's Death and the King's Horseman at the National Theatre, and in 2010 she played Ruth Younger in Michael Buffong's production of A Raisin in the Sun by Lorraine Hansberry at the Manchester Royal Exchange, a performance which won her a Manchester Evening News Theatre Award for Best Supporting Actress.

In 2011 Jules returned to the role of Mama Nadi in Charles Randolph-Wright's production of Nottage's Ruined at the Arena Stage in Washington, D.C. That year, Jules won the Critics' Circle Theatre Award for Best Actress for her turn as Mama Nadi in Ruined.. In 2012, she played Mavis in Michael Buffong's production of Moon on a Rainbow Shawl by Errol John at the National Theatre, and Regan in King Lear at the Almeida Theatre, directed by Michael Attenborough. In 2013 Jules spent most of the year playing Cassius in Phyllida Lloyd's all-female production of Julius Caesar, first at the Donmar Warehouse in London, later transferring to St. Ann's Warehouse in Brooklyn.

In 2014 Jules played Penny in Suzan-Lori Parks' new play, Father Comes Home from the Wars, Parts 1, 2 & 3, at The Public Theater in New York and then at the American Repertory Theater in Boston. She made her Broadway debut in 2016 as Tituba in Ivo van Hove's production of The Crucible at the Walter Kerr Theatre, which starred Ciarán Hinds, Sophie Okonedo, and Saoirse Ronan.