McNaughton formed a solid working partnership with producer Steven A. Jones on "Henry", and their subsequent films continued to explore the nature of violence, passion and greed. The sci-fi thriller "The Borrower" (1991) was notable for the grisly, deadpan humor added to the tale of an alien, stranded on Earth, who must replace his regularly exploding head with those of humans. McNaughton's rendition of performance artist Eric Bogosian's one-man off-Broadway show, "Sex, Drugs, Rock & Roll" (1991), shot in just four days, emphasized the grubbiness and cynicism of the world Bogosian portrayed. Even McNaughton's occasional TV projects, such as directing episodes of the crime series "The Street" and "Homicide: Life on the Street", the Showtime film "Girls in Prison" (1994) and the supernatural pilot "The Book" (to air in 1996), have been consistent with his film work.
In 1993, McNaughton entered the Hollywood mainstream with "Mad Dog and Glory", a relatively light drama, written by the talented Richard Price. Intriguingly cast, with Robert De Niro as a shy cop, Bill Murray as a gangster who is also a frustrated comic and Uma Thurman as the bone of contention between them, the film proved an interesting misfire. Its mix of dark comedy and sometimes whimsical drama divided critics and failed to pull in audiences used to more conventional genre fare.