Fung's mother, Julie Sek Yin, was a famous Actress during Shaw Brothers' golden era of dramatic films during the 1960s. Fung married Taiwanese Actress Shu Qi in September 2016. The two met on the set of the romance drama Bishonen in 1997, and dated for four years before marrying.

Stephen made his acting debut in Forbidden Nights (1990). Since then he has starred in more than 40 films and became a household name in China. In 2004, Stephen wrote/directed/starred in his feature film directorial debut, Enter the Phoenix, for Jackie Chan's newly formed company JCE Movies Limited; it became an instant hit. His second directing/starring feature, House of Fury, Stephen's first collaboration with legendary action Director Yuen Woo-ping proved to be a success. House of Fury was the opening selection for the Hong Kong International Film Festival 2005, official selection for the 18th Tokyo International Film Festival, and the highest grossing Hong Kong film for the first half of 2005.

Ai Bu Gou/Love Not Enough (Album) (1999)

Besides continuing with his acting career, Stephen directed Jump, written and produced by Stephen Chow for Sony Columbia Pictures Asia. In 2012, Stephen directed the first two installments, Tai Chi 0 and Tai Chi Hero, in the "Taichi Trilogy."

Fung currently serves as executive Producer, Director and action Director of the AMC original series Into the Badlands, which stars Daniel Wu, Nick Frost, Sarah Bolger, Marton Csokas. In 2017, The Adventurers, Fung's sixth film as Director, will be released. The movie stars Andy Lau, Jean Reno and Shu Qi.