After moving to New York City in pursuit of a career in the arts, Theroux landed a 1995 guest role in the pilot of the CBS series "Central Park West". The following year he made his feature debut in "I Shot Andy Warhol", playing Mark the Revolutionary in Mary Harron's look at attempted assassin Valerie Solanas and the famed pop artist. 1997 saw the actor portray a cowboy in the enjoyable comedy "Romy and Michele's High School Reunion" and take a co-starring role alongside Alyssa Milano in the eerie independent drama "Below Utopia" (aired on HBO in lieu of theatrical release).

In 1998, Theroux returned to NYC TV productions with a recurring role on the Fox police drama "New York Undercover" and a guest shot on the sitcom "Spin City" (ABC). The following year he was featured in an episode of HBO's "Sex and the City", playing Vaughn, Carrie (Sarah Jessica Parker)'s suitor and fellow writer. As a man wanted by a troupe of theater acting debt collectors, Theroux was featured in the independent "Frogs for Snakes" (1998) while in the gripping Showtime original movie "Sirens" he starred as a police officer embroiled in a moral quandary over a case of excessive force. He impressed with roles in high-profile independents "American Psycho" and "The Broken Hearts Club: A Romantic Comedy" in 2000. The former reunited the actor with director Mary Harron, who managed to transform Bret Easton Ellis' brutal novel into a biting satire, with Theroux as one of the successful cohorts of maniacal Bateman (Christian Bale). Praised for its realistic portrayal that neither victimized nor lionized gay characters, "The Broken Hearts Club" was a charming and inherently likable film. Theroux had a pivotal supporting role playing Marshall, the man whom Matt McGrath's Howie is having difficulty getting over. Fall of 2000 saw Theroux make his regular television series debut on CBS' "The District", playing Nick Pierce, the crafty head of PR who works with dogged police chief Jack Mannion (Craig T. Nelson) on building an organization that will bring order to the crime-riddled nation's capital.

In 2001 Theroux straddled the line between potential mainstream breakout and indie favorite with supporting roles in Ben Stiller's purposefully insipid undercover male model farce "Zoolander" and director David Lynch's satisfyingly oblique "Mulholland Drive" as an in-over-his-head film director. Theroux's first taste of true fame came with his electric turn in "Charlie's Angels 2: Full Throttle" as Drew Barrymore's menacing, thuggish ex Seamus O'Grady, a DeNiro-in-"Cape Fear" lookalike with murder in his eye. In addition to numerous film and television credits, Theroux and his commanding stage presence have been showcased in many New York productions including the Off-Broadway one-act play "Water and Wine" (1995), the Roundabout Theater Company's "Three Sisters" (1997, alongside Amy Irving, Calista Flockhart and Billy Crudup) and the New York Theater Workshop's presentation of "Shopping and Fucking", which cast him opposite Philip Seymour Hoffman.