The dark-haired, charismatic Anglade made his feature film debut in a small role in "L'Indiscretion" (1982) and followed with a critically-lauded leading role in Patrice Chereau's "L'Homme blesse/The Wounded Man" (1983). In the latter, the 28 year-old played a gay teenager who becomes infatuated with a criminal (Vittorio Mezzogiorno) whom he kills in a fit of passion. Anglade was featured in a minor role in Richard Dembo's Oscar-winning "Dangerous Moves/La Diagonale du fou" (1984) before gaining exposure as Zorg, the narrator of Jean-Jacques Beineix's story of obsessive love "Betty Blue/37.2 le matin" (1985). That same year, he was featured as a roller-skater in Luc Besson's "Subway".
Anglade went on to portray a doctor in love with Nastassja Kinski in the romantic drama "Maladie d'amour" (1987). In his first (mostly) English-language film, 1989's "Nocturne indien/Indian Nocturne", he was a man, searching in vain for a friend who had disappeared in India, who begins to assume the missing person's identity. Anglade won praise for his magnetism and skill in essaying a neutral character who eventually develops an ambiguity as he travels across the sub-continent. In Besson's "Nikita/La femme Nikita" (1990), he was Marco, the unknowing boyfriend of Anne Parillaud's assassin-for-hire. Anglade appeared in the two-hander "Nuit d'ete en ville/A Summer Night in Town" (also 1990), as a gardener engaging in a sexual encounter with a teacher (Marie Trintignant). In the fantasy "Gawin" (1991), he essayed the role of a terminally ill young boy's father who pretends to be an extra-terrestrial to fulfill his son's dreams. He further demonstrated his range with his award-winning portrayal of King Charles IX opposite Isabelle Adjani's "La Reine Margot/Queen Margot" directed by Patrice Chereau. In Roger Avary's "Killing Zoe" (both 1994), Anglade was galvanizing as the mastermind of a bank robbery that goes fatally awry. He played a ruthlessly charming publisher courting Emmanuelle Beart in "Nelly & Mr. Arnaud" (1995).