Prior to her stay in Mexico, Sokolow created only one piece with clear Jewish content, the 1939 The Exile. In part influenced by the strong role of religion in Mexican culture, she began to draw more frequently on Jewish history, religion, culture, and society in her work.

Many of Sokolow's Jewish compositions explored themes of exile and suffering, as did her work as a whole. Her 1945 Kaddish, choreographed just as the Holocaust ended, drew upon traditional Jewish elements to express her intense pain and sorrow. Beating her breast and invoking tefillin by wrapping a leather strap around her arm, Sokolow created a heartwrenching manifestation of mourning. Her Dreams, premiered in 1961, was the first serious dance exploration of the Holocaust.

Yet Sokolow did not simply mourn for a lost culture and a lost population. Many of her pieces explored the Jewish people's strength and courage in the face of great adversity; others commented upon Jewish religious and social traditions. Sokolow based a number of works specifically on Jewish female figures, from the Biblical Ruth, Miriam, and Deborah to the modern Hannah Senesh and Golda Meir. Her 1943 Songs of a Semite, named after a book of poems by Emma Lazarus, presented a lonely Jewish woman who gained strength from remembering the courage of several Biblical women.

The Jewish community provided Sokolow with opportunity as well as inspiration. Not only did Jewish unions and fraternal organizations form many of her first audiences, but she premiered a number of pieces at New York's 92nd Street Young Men's Hebrew Association. Sokolow also staged festivals and pageants in support of State of Israel bonds and directed a synagogue service combining poetry and dance.