In 1979, Rockwell had already amassed a small body of work and received two one-man shows of his short films at the Institute for Contemporary Art in Boston and the Association of Independent Video and Film in NYC. Two years later, he made his feature writing, directing and producing debut with "Lenz" (1981), adapted from a classic German novella that detailed a writer's descent into madness. Shown at the Berlin Film Festival in 1982, it went on to become a favorite on the midnight movie circuit in Berlin and Munich for four years. Rockwell received German financing for his second movie, "Hero" (1983), a road film, full of symbolism, about a group of misfits who set for Truth or Consequences, NM and lose their way in the desert. Critically acclaimed, "Hero" received a Special Jury Prize at the 1984 US Film Festival.

It was six years before Rockwell co-wrote and directed his third feature, "Sons" (1989). A character study of three half-brothers (D B Sweeney, William Forsythe and Robert Miranda) who take their ailing father (Sam Fuller) to Normandy to reunite him with a lost love, "Sons" received mixed reviews. While critics praised the acting, they faulted the story. Rockwell's reputation as an "actor's director" was established, however, and he further solidified it with "In the Soup" (1992), an award-winning, semi-autobiographical story. Shot in black & white, the film detailed the attempts of an aspiring filmmaker (Steve Buscemi) and his attempts to raise the financing for his magnum opus, a five-hundred-page screenplay. Eventually, he meets up with an eccentric crook (Seymour Cassel) who provides the money, sometimes through illegal means. A sardonic, sarcastic look at show business, "In the Soup" won particular praise for the performances elicited by the director. Among the other cast members were Carol Kane, Stanley Tucci and Jennifer Beals, whom Rockwell had married in 1986.

Rockwell's subsequent features have included "Somebody to Love" (1994), starring Rosie Perez, Anthony Quinn and Harvey Keitel. Loosely based on Fellini's "Nights of Cabiria", the film told the story of a taxi dancer (Perez) so blinded by her feelings for a married man that she ignores the man who truly loves her. Rockwell also helmed a segment of the anthology film "Four Rooms" (1995), which featured Jennifer Beals as a wife whose threatening husband (David Proval) has tied her to a chair in a hotel room.