After meeting Mamet and lecturing to his acting classes, Jay served as an advisor on Mamet's play "The Shawl" (1985) and has acted in four of the writer-director's features, perhaps most memorably as the sleazy Las Vegas card player-con man in "House of Games" (1987), on which he also served as a consultant. Jay has additionally consulted or advised on movies like "The Escape Artist" (1982), "Sneakers" and "Leap of Faith" (both 1992) and even designed the illusion wheelchair for Gary Sinise's character in "Forrest Gump" (1994). His interest in "close-up" magic led him to write and produce the solo stage show "Ricky Jay and His 52 Assistants", an intimate look at cardsharping which Mamet directed to great acclaim off-Broadway in 1994. (The show was filmed for HBO in 1996 and Jay and Mamet took it to London's West End in 1999). After a turn as a computer expert in "Tomorrow Never Dies", he played the seen-it-all porn cameraman in Anderson's "Boogie Nights" (both 1997), then rejoined the director for "Magnolia" (1999), narrating the opening sequences and then later appearing as a TV producer.

Jay went to work again for Mamet in back-to-back films: “State and Main” (2000), an ensemble comedy about a Hollywood production taking over a small New England town after getting run out of their previous location, and “Heist” (2001), a crime thriller about the leader (Gene Hackman) of a band of thieves whose face is exposed during a job, forcing him to do one last gig before disappearing. After a brief role as an auctioneer in “Heartbreakers” (2001), a lackluster comedy about a mother and daughter con artist team (Sigourney Weaver and Jennifer Love Hewitt), Jay showed up as a detective in Gus Van Sant’s “Last Days” (2005), a fictional story about an artist (Michael Pitt) succumbing to the pressures and isolation of celebrity, based on troubled rock star Kurt Cobain’s decline and fall.