Returning to the US, Calderón worked as a demolition man, and later as a Latin dance instructor. At the same time he began studying and performing in many Off-Off-Broadway productions as well as Regional Theatre. He got his big break in 1984 in a revival of Miguel Piñero's Short Eyes directed by Kevin Conway at the Second Stage Theatre. In 1995 he won an Obie and an Audelco Award for his performance in Blade to the Heat at the Public Theater. His most notable Broadway role was opposite Robert De Niro in Cuba and His Teddy Bear.

Calderón co-wrote Abel Ferrara's 1992 crime drama Bad Lieutenant, starring Harvey Keitel. He has had various short stories published in literary journals. His last published story was "Primitive Grace" for the international e-magazine Noir Nation.

Calderón was almost cast as Jules Winnfield in the 1994 film Pulp Fiction, since Director Quentin Tarantino was so impressed by his audition. The role eventually went to Samuel L. Jackson, but Calderón was given a role as a bartender, Paul, who quips the famous line, "Hey, my name's Paul and this shit's between y'all," to John Travolta's character Vincent Vega.

He has made numerous guest appearances on television series, including recurring roles on Dream Street, Law & Order and Miami Vice. In 2012, he guest-starred in the Blue Bloods episode "Domestic Disturbance", playing Lieutenant Martin Perez; as well as working on two films: West End, directed by Joe Basille; and Biodegradable, a Futuristic film shot in the Dominican Republic with an all Latin cast, directed by Juan Basanta. In 2014, he played "Arquimedes", the bodyguard of Enoch "Nucky" Thompson (played by actor Steve Buscemi) in 7 episodes of the 5th and final season of Martin Scorsese's HBO series Boardwalk Empire. In 2016, he reprised the role of Lt. Martin Perez guest-starring in the Blue Bloods episode "Back in the Day". He played "Alejandro", a recurring role on Fear the Walking Dead.