Jessica began her stage career at the National Theatre in productions including Much Ado About Nothing and Major Barbara. On television, she guest-starred in the Doctor Who episode "Partners in Crime". She also appeared in Mutual Friends before taking a recurring role as Angela in Law & Order: UK in 2009. She was also in Life of Riley as well as playing Branita in the TV pilot Lizzie and Sarah, written by Julia Davis and Jessica Hynes.
In 2012 she played the character of Orla in the BBC television series White Heat. This was followed by a lead role as Melissa Young in BBC drama What Remains. In 2013, Gunning also played the part of Summer in an episode of Great Night Out for ITV. In 2014 Jessica starred as Siân James in Golden Globe- and BAFTA-nominated film Pride, and finished the year in That Day We Sang, a television film written and directed by Victoria Wood.
She was also seen in The Scandalous Lady W on BBC Two and played Shirley Allerdyce in Sky Atlantic’s TV Series Fortitude. Jessica played the character of WPC Kath Morgan in the TV Show Prime Suspect 1973, DC Sophie Carson in In the Dark (British TV series) and Umm Walid in Channel 4 drama The State. In 2019 Jessica performed alongside Cate Blanchett at the National Theatre in When We Have Sufficiently Tortured Each Other, written by Martin Crimp and Directed by Katie Mitchell.

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