She co-starred in a number of films such as Illegal Tender (2007), Fighting (2009), Takers (2010), Boy Wonder (2011), Hostel: Part III, The Single Moms Club (2014) True Memoirs of an International Assassin (2016).In 2014 she began starring as one of the lead characters in the Oprah Winfrey Network series, If Loving You Is Wrong.Henao appeared in the two small films, and in 2007 made her television debut in an episode of Lifetime drama series, Army Wives.In same year she also guest-starred on Law & Order: Special Victims Unit.Also in 2007, Henao had supporting roles in films Illegal Tender and Feel the Noise.In 2008 she starred in the horror film Grizzly Park, and appeared opposite Charles S.Dutton in a Lifetime Original Movie Racing for Time.In 2009, Henao had the female lead role in the sports film Fighting alongside Channing Tatum, and also appeared in the science fiction film S. In 2011 she starred in the independent psychological-thriller film, Boy Wonder.
When she was a child, her family moved to New Jersey, United States of America.
There she attended the local school and grew up an ordinary girl.
During the formative years, she was a soldier for three years of the United States Army.
Besides, Zulay was interested in different arts and had a dream to become an actress in the future.
Therefore, she took lessons of acting at the New York Conservatory for Dramatic Arts.