Elena was born in 1821 in Las Californias to the spanish nobleman Don Diego De la Vega (who fights masked as the hero "Zorro") and his wife Esperanza.
But the cruel governor of the region, Don Rafael Montero, learns Diego De la Vega's identity as Zorro. Don Rafael imprisions Diego De la Vega forever, kills his wife Esperanza and takes their infant daughter, Elena, as his own before leaving for Spain.
So Elena grows up in Spain not nowing her true origins. She thinks her father es Don Rafael Montero and that she was born in Spain.
But at the age of 21, she returns with Don Rafael to Las Californias (since Don Rafael plans to steal some gold from a mine to buy California from General Santa Anna).
There, in Las Californias, Elena encounters in some occasions the young and masked hero, the new "Zorro". She falls in love with him, but she doesn't now his true identity. She doesn't know that he's Alejando Murrieta, a thief that poses as a visiting nobleman called Don Alejandro del Castillo y García in some of the parties she and Don Rafael host. She also encounters sometimes her real father (who has escaped from prison and is with Alejandro trying to stop Don Rafael's plan).
When Zorro steals information from Rafael, Elena tries to stop him. She engages him in swordfighting and proved to be a formidable combatant but Zorro still disarms her. He then uses her sword to strip her naked and the two share a strong, passionate kiss. Elena falls even deeper for him and does not try to stop him escaping (probably due to being lovestruck).
Finally Don Diego De la Vega corners Don Rafael Montero while Elena is watching the scene and finally Montero reveals Elena's true identity, but Don Diego is captured by Don Rafael's men and is taking away. But Elena free him.
Both, Elena and her true father went to the gold mine (which is about to be destroyed by Don Rafael's men) to help Zorro and to save the workers inside the mine.
Don Diego gets mortally wounded. But, before he dies in the arms of his daughter Elena, Don Diego officially passes the mantle of Zorro to Alejando, and gives his blessings for Alejandro's and Elena's prospective marriage.
After nine years, in 1850, California is voting on whether to join the United States of America as a state. The result is yes. So Elena believes that Alejandro can now give up being Zorro and dedicate himself to his family and his son Joaquin, but Alejandro is sure that the people will still need him.
The next day, after sending their son, Joaquin to school, Elena is confronted by the Pinkertons (who work for the United States), who disclose their knowledge of her husband identity. For not revealing his secret identity, the Pinkertons blackmail her and made her work as a spy. So she has to divorce Alejandro, and to seduce the villian nobleman Armand to obtain his plans against California.
Sometime later, Alejandro is captured by the Pinkertons who inform him of their blackmailing Elena into divorcing him and getting close to Armand to discover his plans; since California isn't yet a state, they couldn't conduct a legal investigation. Joaquin stumbles upon his father's whereabouts and frees him from prison. Zorro heads over to Armand's mansion, meets Elena, and eavesdrops on Armand's meeting, learning that the soap bars contain glycerin - a precursor to nitroglycerin, which Armand plans to distribute throughout the Confederate Army, with the help of Confederate Colonel Beauregard, to destroy the Union.
Zorro and Elena reconcile concerning her involvement with the Pinkertons, and Zorro prepares to destroy the train carrying the explosives.
At the mansion, Armand is informed by his butler, Ferroq about Elena's deception and, showing her the bodies of the Pinkerton agents, brutally confronts her with his knowledge. He takes her and Joaquin hostage on to the 10 car train, forcing Zorro to stop his own sabotage and getting himself captured. He is unmasked in front of his wife and son, much to Joaquin's shock. Joaquin and Elena are taken away by Armand, while McGivens is tasked with killing Alejandro. Unexpectedly, Felipe arrives and helps Alejandro overpower McGivens, who is killed when a drop of nitro lands on his head. Felipe then reveals that the crucifix around his neck shielded him from McGivens' bullet, and Alejandro goes to save Elena and Joaquin.
The train plows Armand into the block, killing him and causing the nitroglycerin to detonate, destroying the train. With Zorro as an official witness, the governor later signs the bill, and California becomes the 31st state of the United States of America. Later, Felipe remarries Alejandro and Elena with Joaquin as the only witness. Alejandro apologizes to his son for not telling him the truth, and he admits that Zorro's identity is a family secret rather than just his own.
Elena then allows Alejandro to continue being Zorro, accepting him of who he is and Zorro rides off on Toronado to his next mission.
Catherine Zeta-Jones portrays Elena as a sweet, tender, strong and upstanding young lady. She is innocent but has a hidden passion for justice and adventure, something that doesn't seem rightful for a woman in the society she's living in. That's why sometimes she seems frustated with the noblemen's contempt towards her political ideas and justice ambitions.
But this adventure and justice passionate yearnings are a legacy from her father the original Zorro. But she also has the sweetness and warmth from her mother Esperanza. While Eléna understands and applies respectability in her day to day life, she has a hedonistic side that Zorro fulfills. During their first duel, her physical desires overwhelmed her and she indulged in an intense kiss with him. It was probably due to her magisterial and "proper" father that her repressed passions manifested themselves with such strength.
While maturing and being a mother, she becomes more settled and tries to avoid risks for the sake of her family.