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Before beginning her career in adult film, she was an exotic dancer in Australia who started her own website. She was then contacted by LA Direct Models, who brought her to Los Angeles, California. Upon coming to America in 2003, she was immediately recruited by Red Light District and began her career -- her first scene was with Lexington Steele and Erik Everhard in the movie Me Luv U Long Time 4.
On July 28, 2006, she became the first place winner of the second season of the Jenna Jameson's Playboy TV show Jenna's American Sex Star. As the recipient of an exclusive contract with Club Jenna, Jezel is the company's first non-caucasian contract star.
Roxy made a cameo appearance in the Season 3 finale of the HBO series Entourage.