The actress stars in Matthew Parker's version of the story for a five-week season at Studio 3, Riverside Studios in London.
Cave played Ron Weasley's girlfriend Lavender Brown in Harry Potter and the Half-Blood Prince and Harry Potter and the Deathly Hallows - Part 2.
The supernatural tale takes place in a Sussex manor house where a ghost keeps watch waiting for the return of her beloved boy.
The cast features Joanna Watt, Charlie Kerson, Nicholas Hoad, Phil Bishop, Alec Gray, Sally Preston, Philippa George, Ariel Harrison, Maya Thomas and more.
Mary Rose runs at Studio 3 from Wednesday, March 28 to Saturday, April 28.
Tickets are priced at £17.50 (£15 for concessions) and are available now.
The play was first seen on the London stage in 1910. The title role was played on Broadway by Mia Farrow.
Later this year, Cave will feature in the second series of Simon Amstell's Grandma House.
She will also play Biddy in the upcoming movie adaptation of Great Expectations helmed by Harry Potter and the Goblet of Fire director Mike Newell.
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Watch a deleted scene from Harry Potter and the Deathly Hallows - Part 2 below: