Theroux made his film debut in 1996, in Mary Harron's I Shot Andy Warhol. Since then, he has performed both on Broadway, starring in the acclaimed Observe the Sons of Ulster Marching Towards the Somme, numerous off-Broadway productions, and in comedies, such as Charlie's Angels: Full Throttle, The Baxter, Romy and Michelle's High School Reunion, Broken Hearts Club and Zoolander. He has also performed in more serious fare such as American Psycho. He recently appeared in the film versions of the cult TV show Strangers With Candy and Michael Mann's Miami Vice. Theroux starred in David Lynch's films Inland Empire and Mulholland Drive.
In 2003, he was featured in a music video for the British band Muse for their song "Hysteria". Theroux also has an extensive television resume, having starred in The District and appeared on episodes of shows such as Alias, Ally McBeal, Sex and the City (in which he guest starred in two episodes as different characters, playing Jared in Season One Episode 07 "The Monogamists" and as Vaughn Wysel in Season Two Episode 15 "Shortcomings"), and Six Feet Under (in which he played a recurring character in the fourth season).
In 2006, he directed his first film, Dedication, which premiered at the 2007 Sundance Film Festival. A fan of the band Deerhoof, Theroux chose them to score Dedication. Theroux also had roles in two other films at the festival, Broken English and The Ten, in which he played Jesus Christ alongside Gretchen Mol. Theroux co-wrote the Ben Stiller-directed Oscar-nominated film Tropic Thunder, and also appeared in the behind-the-scenes mockumentary Tropic Thunder: Rain of Madness.
In 2008, Theroux played John Hancock in the HBO mini-series John Adams. On July 15, 2008, Variety announced that Theroux will be writing the sequel to Jon Favreau's Iron Man. In 2009, Theroux made up part of the voice cast for Call of Duty: Modern Warfare 2. Theroux will be returning to acting in the film Your Highness as Leezar, an evil wizard who kidnaps a princess.