Scherfig graduated from the National Film School of Denmark in 1984, and began her career as a Director with the television film Margrethes elsker in 1985. Previously, she had been involved in the advertising Business and had won awards (including the Lion d'Argent) at the Cannes International Advertising Film Festival. Her directorial debut in film came with Kaj's fodselsdag. The film was critically successful and garnered her the Grand Jury prize and the Club Espace Award at the Rouen Nordic FIlm Festival. For a period of time following such success, Scherfig wrote and directed a few short films and worked with both radio shows and the stage. In 1998, she directed the film Nar mor kommer hjem, which was the recipient of the Grand Prix at the Montreal Film Festival and the Cinekid Award in Amsterdam.

Kaj's fodselsdag won both the Club Espace Award and the Grand Jury Prize at the Rouen Nordic Film Festival in 1991. Nar mor kommer hjem won the Cinekid Film Award in 1998.

Scherfig found her international breakthrough with the film Italian for Beginners (2000), which was critically acclaimed and won several awards, including the Jury Grand Prix Silver Bear award at the Berlin International Film Festival. Hailed as a feel-good movie, the film is consistently preoccupied with themes of hope, happiness, and choice. It is credited as the most profitable Scandinavian film to date.

Following Italian for Beginners, Scherfig made the deadpan comedy Wilbur Wants to Kill Himself, released in 2002. This film, not considered a part of the Dogme 95 canon, is a touching movie centered on a suicidal man who is constantly saved and cared for by his brother. Noted by critics to be a surprisingly lighthearted affair, the movie was praised for Scherfig's ability to craft deep and interesting characters. A.O. Scott mused that the film's tone "ranges from stoic to diffident to quizzical, at least on the surface. But there is an undercurrent of deep and complicated feeling beneath the Scottish reserve; it is signalled by the music, and by Ms. Scherfig's exquisite sense of nuance." This film found Scherfig working closely with the prolific Writer Anders Thomas Jensen in developing a screenplay. It also allowed her to align her work with the production companies Sigma Films and Zentropa. Although well received, Wilbur was not as commercially successful as Italian for Beginners, although it did act as a catalyst for a Dogme 95 related project called the "Advance Party," in which both Scherfig and Jensen helped write characters for Lars Von Trier.

As with Wilbur Wants to Kill Himself, Scherfig wrote and directed another character focused film: Just Like Home, released in 2007. In this comedic endeavour, set in a little town, several characters unite to discover who could be causing commotion in the streets at night. The movie concerns itself primarily with the various citizens of the town and their interactions with each other. In the style of constraints learned by being involved in the Dogme 95, Scherfig claims that the film was written piece by piece every day it was shot. Further proving Scherfig's fascination with lighthearted and sweet affairs, she has claimed the story is "about trust...the fundamental belief that people you hardly know will want the best for you." The film received very little commercial or critical spotlight, instead acting as a bridge between Scherfig's earlier experiments and her more American successes.

In 2009, An Education, Scherfig's most critically lauded film, was released. Written by esteemed fiction author Nick Hornby, the movie was based on Journalist Lynn Barber's experiences as a teenager in post-war Britain. The film's story follows 16-year-old Jenny (played by Carey Mulligan) as she is picked up one rainy night by David (played by Peter Sarsgaard), and brought into the bustling and exciting London society. Centered on this tender and somewhat morally ambiguous romantic relationship between David and Jenny, the movie was hailed as being subtle and deliberate in its pacing and tone. Many reviewers noted the exceptional performance of Carey Mulligan as the protagonist. She went on to gain a nomination from the Academy Awards, as did the film itself (for Best Picture) and Nick Hornby (for his Adapted Screenplay). On making the film, Scherfig has talked about her focus on the theme of being an American teenager examined throughout the story, saying, "my guess is about America is that it’s this combination of innocence and freedom that attracts you. Here in Denmark, as well, it was more liberated than it is now, and was definitely more innocent and less dangerous. I mean, when I was a teenager, the world was a lot safer than it is now for my daughter as a teenager, which meant that I could have a lot more fun. It wasn’t risky the way it is now." She has also discussed the pleasures of working in a more collaborative spirit for this movie, commenting that the movie was "the same piece that we [were] all working on, and that was really important to me as a Director that everyone was making the same film, that everyone contributed to the package and tried to strengthen it and get as many facets as possible but not be over-inventive, [to] just tell the story as well as we possibly could." Coming off the success of An Education, Scherfig had many opportunities to develop a more expansive American career in filmmaking.

Scherfig's next film titled One Day, released in 2011, follows the lives of two romantically engaged individuals as they intersect one day each year. Based on a novel and then adapted by David Nicholls, the movie marks a more obvious turning point for Scherfig's career in reaching a mildly larger audience than any of her previous films. The plot and story of the movie has been commented on being somewhat simple and predictable, but critics were also aware of Scherfig's ability to give the dialogue and tone of the film a distinct freshness. Leading actors Anne Hathaway and Jim Sturgess both lent the film access to a wider audience. Scherfig herself had stated expressly her interest in working with Hathaway on this project. She has also commented on the difficulties of working with someone else's screenplay, saying in an interview that:

Scherfig worked as a consultant Writer for the Danish film Alting, and has worked on other projects (such as Red Road and Donkeys) in helping write and develop characters. Her most recent work is The Riot Club, based on the stage play Posh by Laura Wade, released in 2014. The film follows two first-year students amongst the privileged elite of Oxford University, determined to join the infamous Riot Club, where reputations can be made or destroyed over the course of a single evening. Universal Pictures distributed the film in the UK and Ireland.