Davidtz was born in Lafayette, Indiana, while her father was studying chemical engineering at Purdue University. Her parents, John and Jean, later moved to Trenton, New Jersey, and then back to their native South Africa, when Davidtz was nine years old. Davidtz has Dutch, English, and French ancestry. She had to learn Afrikaans before attending school classes in South Africa, where her father took up a teaching post at Potchefstroom University. She graduated from The Glen High School in Pretoria in 1983 and studied at Rhodes University in Grahamstown.
Davidtz made her professional acting debut at age 21 with CAPAB (Cape Performing Arts Board, now known as Artscape) in Cape Town, playing Juliet in a stage production of Romeo and Juliet, at the Maynardville Open-Air Theatre. Performing in English and Afrikaans, the bilingual actress also starred in other local plays, including Stille Nag (Silent Night) and A Chain of Voices, both earning her nominations for the South African equivalent of the Tony Award.
Her film debut came in 1988 with a small role in South African-filmed American horror Mutator. Shortly after, she won a bigger part in South African short telemovie A Private Life, as the daughter of an interracial couple. Davidtz won a DALRO Award for Best Supporting Actress for her work in the 1990 play Houd-den-bek. For the same play, she was nominated in 1991 for the Esther Roos Award for Best Actress in a Supporting role in Afrikaans film. Steven Spielberg noticed her performance in the 1992 South African film, Nag van die Negentiende and offered her the role in Schindler's List.
Davidtz moved to Los Angeles in 1991, and quickly landed a role in her first American film, Sam Raimi's Evil Dead sequel Army of Darkness. Soon after, she appeared in two NBC projects, the made-for-television film Till Death Do Us Part and the miniseries Deadly Matrimony. She was also seen in Laura Ziskin's short film Oh, What A Day, opposite Viggo Mortensen.
Davidtz next had a high-profile central role in the fact-based film Murder in the First (1995), followed by the Merchant Ivory production Feast of July (also 1995). In Matilda (1996), a feature based on Roald Dahl's children's fantasy, she played the role of Miss Honey, the grade-one teacher of the title character.
In 1998, Davidtz played a theologian helping Denzel Washington crack a supernatural wave of crimes in the mystery drama Fallen and a femme fatale linked to Kenneth Branagh in Robert Altman's take on a previously unused John Grisham manuscript, The Gingerbread Man. The following year, Davidtz portrayed a 19th-century woman of the world in Patricia Rozema's reworking of the Jane Austen comedy Mansfield Park and played a dual role opposite Robin Williams in the futuristic fable Bicentennial Man.
A supporting role in the film adaptation of Bridget Jones' Diary (2001) saw Davidtz play Natasha, a colleague and one of the love interests of Mark Darcy (Colin Firth). That year, she began her run on the CBS drama, Citizen Baines, playing the daughter of a defeated United States Senate incumbent (James Cromwell) who is herself leaning towards a career in politics. Other roles included horror thrillers like 2001's Thir13en Ghosts. In 2002, she appeared in the Michael Hoffman drama, The Emperor's Club, which co-starred Kevin Kline and Emile Hirsch.
In Junebug (2005), Davidtz played an outsider art dealer from Chicago brought to North Carolina by her husband (Alessandro Nivola) to meet his family for the first time. Davidtz has also guest-starred on the hit ABC drama series Grey's Anatomy as Dr. Derek Shepherd's sister Nancy in the Season 3 episode "Let the Angels Commit". In 2008, she had a regular role on HBO's In Treatment as Amy, part of a fractious couple alongside Josh Charles's Jake.
She portrayed the unfaithful and unfortunate wife of Anthony Hopkins's character in the 2007 drama Fracture.
From 2009 to 2012, she played Rebecca Pryce, wife of Lane Pryce in the hit AMC television show Mad Men. She also played Felicia Koons, the wife of the dean and the mother of Becca's best friend, Chelsea, on Showtime's Californication.
Davidtz played Annika Blomkvist in David Fincher's adaptation of The Girl with the Dragon Tattoo. She also appeared in Marc Webb's Spider-Man reboot The Amazing Spider-Man as Peter Parker's mother Mary, who vanished under mysterious circumstances along with Peter's father Richard.
Davidtz married entertainment attorney Jason Sloane on June 22, 2002, and has two children, Charlotte Emily (born 2002) and Asher Dylan Sloane (born in 2005). Embeth also has a younger sister who is a successful psychologist at Nova Southeastern University in Fort Lauderdale, Florida.
In an interview regarding her current guest appearances on Ray Donovan in which she portrays a breast-cancer survivor, Davidtz revealed that she had been diagnosed with breast cancer in 2013, which had caused her to stop working and for which she underwent a mastectomy. The role was Davidtz's first after undergoing treatment, and when informed that it required nudity, Davidtz worked with producer David Hollander to incorporate her partially-reconstructed right breast into the story, turning down the use of a prosthetic as a substitute for her right nipple that was due to be restored through surgery. "Somebody might not believe it if an actress pretended to have their nipple gone and said, 'Look, I'm still sexual and pretty.' But when it's real, I hope it makes someone feel beautiful. I still feel beautiful," said Davidtz regarding the message she wished to convey by taking the role.