Audry's first feature film was Les Malheurs de Sophie (1946). This was based on the popular novel of the same name by the Comtesse de Ségur. No copies of this film, which was censored for its "politically inappropriate" riot scenes, exist. Unable to raise funds for her next film, she had to wait a couple of years before making Sombre dimanche (1948). In the 1940s and 1950s, she directed three films based on Colette novels; Gigi (1949), Minne (1950) and Mitsou (1956), all three with actress Danièle Delorme. Mitsou, which featured sex outside of marriage, was heavily censored.
