In order to make the trandformation from child to adult actor, Gyllenhaal purposefully passed over teen fare for such films as 1999’s October Sky and Donnie Darko (2001), co-starring Drew Barrymore and sister Maggie, for which he earned an Independent Spirit Award nomination. Several of the roles that followed echoed former projects in complexity: Gyllenhaal played Jennifer Aniston’s troubled love interest in The Good Girl (2002), while in Moonlight Mile (2002), the actor portrayed a young man grieving over the death of his fiancee along with her family.

In spring 2002, Gyllenhaal also starred on the London stage in Kenneth Lonergan’s revival of This Is Our Youth. The actor received an Evening Standard Theater Award for his portrayal.

Gyllenhaal was part of the ensemble cast of the 2004 worldwide blockbuster The Day After Tomorrow before starring in Ang Lee’s Brokeback Mountain (2005), a love story of two cowboys who fall in love with each other. Co-starring Heath Leadger, Michelle Williams and Anne Hathaway, the film earned Gyllenhaal a Best Supporting Actor Academy Award nomination in addition to winning him the Golden Lion at the Venice Film Festival.