During the 2014 Florida Winter Series Calderón won her first open-wheel race at Sebring International Raceway. She finished fifth in the championship standings with two more top five finishes. Not long after, Calderón returned to Europe and entered the EuroFormula Open Winter series round at Circuit Paul Ricard, finishing fourth for EmiliodeVillota Motorsport. She had originally signed for Signature Team days before the 2014 FIA Formula 3 European Championship began; a lack of testing time and the misgivings of her being noncompetitive due to the car's under-powered engine led her to join Jo Zeller Racing. During the season, in which she was advised by Anthony Hamilton, the father of driver Lewis Hamilton, regular points-scoring finishes put her 15th in the drivers' standings. In November, Calderón became the first woman to contest the Macau Grand Prix since Cathy Muller in 1983, finishing 13th.
In late 2014, driver Susie Wolff began to mentor and advise Calderón. She moved to Carlin for the 2015 FIA Formula 3 European Championship after testing with the team in December 2014. Calderón briefly led the rain-affected third race at Spa-Francorchamps, becoming the first woman to lead a series race. She scored no points to go unranked in the 33-race season. During the 2015–2016 season, Calderón drove in the MRF Challenge Formula 2000 Championship for MRF Racing, where she developed a reputation for risky overtaking because the cars' low downforce allowed them to run close together. She consistently finished in the top five, winning at the Dubai Autodrome and was runner-up to Pietro Fittipaldi in the points standings.