In keeping with his preference for off-center work, Gyllenhaal coincidentally played the younger love object of choice in two consecutive indie comedies, appearing as Catherine Keener’s sensitive boss in Nicole Holofcener’s slyly witty Lovely & Amazing (2002) and Jennifer Aniston’s enticing yet disturbed co-worker in Miguel Arteta’s sardonic The Good Girl (2002). As further proof that he had the acting chops to go with his sad-eyed good looks, Gyllenhaal subsequently co-starred with Dustin Hoffman and Susan Sarandon as a young man enmeshed in his dead fiancée’s family in Moonlight Mile (2002). With his star on the rise and his status as a heartthrob all but cemented, it became impossible for Gyllenhaal to avoid the draw of a big summer blockbuster. In 2004, he starred alongside Dennis Quaid in the mega-budgeted The Day After Tomorrow, and the success of that film put him in another league altogether.

What followed was an interesting, challenging mix of roles for the young actor. He could be seen in the fall of 2005 starring in no less than three high-profile prestige films, all of them adaptations: the delayed big-screen version of the Pulitzer-prize winning play Proof, with Gwyneth Paltrow; the Gulf War memoir Jarhead, directed by American Beauty wunderkind Sam Mendes; and Ang Lee's cowboy romance Brokeback Mountain. The first two films received an indifferent response by critics, even though Jarhead's opening-weekend gross confirmed Gyllenhaal's bankability. Lee's film, however, garnered the most acclaim of 2005, and offered him perhaps his riskiest, most rewarding role to date.

Playing the closeted, romantically frustrated rancher Jack Twist, Gyllenhaal added heartbreaking shades of vulnerability to his usual frat-boy cockiness, and more than held his own opposite a memorably gruff, taciturn Heath Ledger. As praise was heaped out upon the film and its two male leads, Gyllenhaal found himself the recipient of a BAFTA award, a National Board of Review notice, and an Oscar nomination for Best Supporting Actor. Gyllenhaal would next appear in David Fincher's Zodiac, a 2007 film about the decades-long investigation into the Zodiac killer, who terrorized San Francisco in the 1970s. The actor was well received and the dark, proceedural film was a smash with critics.