The Missing (2003)

Cate Blanchett is Maggie, a young plainswoman raising her daughters in the desolate wilderness of New Mexico. When daughter Lily (Evan Rachel Wood) is kidnapped by an Apache shaman, a dark-hooded phantom with shape-shifting powers, Maggie's long-estranged father (Tommy Lee Jones) appears suddenly, offering help to track the shaman and his lost granddaughter. Though stunned by his return, Maggie knows she must swallow both hurt and pride if she is ever to see Lily again. Unaware of the frightening events that lurk in the distance, father and daughter set out to track down the fiend that took Lily. But lying in wait is horror so unspeakable it will change them forever!