Zulay was born in Medellín, Antioquia, Colombia, to Colombian parents. She and her family emigrated to New Jersey. After high school she served three years with the U.S. Army. Henao enrolled at the New York Conservatory for Dramatic Arts to study acting.

Zulay 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, Zulay 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, Zulay had the female lead role in the sports film Fighting alongside Channing Tatum, and also appeared in the science fiction film S. Darko. In 2011 she starred in the independent psychological-thriller film, Boy Wonder. Zulay also has appeared in Takers (2010) and Hostel: Part III (2011).

In 2013, Zulay began starring as regular on the Oprah Winfrey Network sitcom, Love Thy Neighbor. She left from show after single season. Zulay starred opposite Nia Long, Wendi McLendon-Covey, and Amy Smart in the 2014 film The Single Moms Club, directed by Tyler Perry. She later was cast in same role of television adaptation of film, called If Loving You Is Wrong. Also in 2014, Zulay was cast as adult film legend Vanessa del Rio, in an untitled biopic directed by Thomas Mignone.

Zulay will next go into production on season 2 of OWN’s #1 rated drama “If Loving You is Wrong” from producer Tyler Perry that will air this summer. Season 1B of the series will resume airing on March 24th on OWN. Zulay will also next be starring in true story of 1970’s adult film icon Vanessa del Rio as the title role. She recently wrapped “Meet the Blacks” opposite Mike Epps and the indie “Destined” with Jesse Metcalfe and Cory Hardrict. Last year, Zulay starred in Tyler Perry’s “Single Moms Club” for Lionsgate and was a lead in the comedy series “Love Thy Neighbor” and the MTV pilot “Happyland”. She recently wrapped the independent feature “White Space” starring opposite Holt McCallany w/ the team behind The Matrix. Zulay also starred opposite Channing Tatum in “Fighting” and Paul Walker in “Takers”.