In 1982, he passed the training courses of television channel TVB. Due to his boyish looks, TVB cast him as host of a children's programme, 430 Space Shuttle. Leung enjoyed comedies during his television years; it was for these he became well known. So, in the 1980s, he was named as one of "TVB's Five Tigers" (their five up-and-coming male TV stars) along with Andy Lau, Felix Wong, Michael Miu and Kent Tong. Leung starred in the highly successful Police Cadet TV serial in 1984 (later named Police Cadet 84 to distinguish it from subsequent sequels).

He played an outgoing young man who decides to become a police officer; Maggie Cheung, who also started her career at the same time, played a shy bookworm, Leung's upstairs neighbour and love interest. Since then they have worked together on The Yang's Saga (1985), Days of Being Wild (1991), Ashes of Time (1994), In the Mood for Love (2000), Hero (2002), and 2046 (2005).

Tony Leung and Carina Lau are one of Hong Kong's biggest Celebrity couples. The pair, who have been dating for 19 years before tying the knot in Bhutan, and remaining married for another eight. Leung has dated Carina Lau since the end of 1989. He had known her since The Replica in 1984. He worked on-screen with Lau in Replica (1984), Duke of Mount Deer (1984), Police Cadet (1984, 1985, 1988), The Yangs' Saga (1985), Days of Being Wild (1991), He ain't heavy, he's my father (1993), Ashes of Time (1994), and 2046 (2005).

In 1990, during the filming of Days of Being Wild, Lau was abducted for several hours. Wong Kar-wai said, "Originally, there were plans for Days of Being Wild I and II, and the sequence featuring Leung was meant to be the opening scene of the second movie. But two things happened, one of which was that Days of Being Wild didn't do well in Hong Kong, so the producers said, "No Part 2." The other reason was Carina Lau's kidnapping.

Many consider Leung's role in Director John Woo's 1992 action film Hard Boiled in which he co-starred with Chow Yun-fat, as his breakthrough role. However, Leung first gained international exposure in Hou Hsiao-hsien's 1989 film A City of Sadness, which won the Venice Golden Lion.

Leung often collaborates with Director Wong Kar-wai and has appeared in many of his films. His most notable roles include the lonely policeman in Chungking Express (1994), a gay Chinese expatriate living in Argentina in Happy Together (1997), and a self-controlled victim of adultery in In the Mood for Love (2000) for which he won the Best Actor award at Cannes. He trained for five years in wing chun to prepare for his role as Yip Man in Wong's The Grandmaster. He is considered by many to be one of the finest actors of his generation in Hong Kong. Robert De Niro and Brad Pitt are admirers of his work, and Leung has been called Asia's answer to Clark Gable.

For In the Mood for Love, Leung earned the Best Actor award at the Cannes Film Festival. He is also a seven-time winner at the Hong Kong Film Awards and three-time winner at the Golden Horse Film Awards, holding the record for most awards in the Best Actor category. The 2002 book East Asian Film Stars describes Leung as "undoubtedly one of the most successful and widely-acclaimed Hong Kong actors of his generation, with a broad and diverse filmography."

According to Ming Pao Daily News, Faye Wong and her husband actor Li Yapeng had taken them to India in 2007 to visit the 17th Karmapa. The Karmapa's counsel helped them to resolve a crisis in their relationship, and he also suggested Bhutan as a wedding venue.

On 21 July 2008, the couple got married in Bhutan in royal fashion. The wedding created a media frenzy in Hong Kong, with companies spending hundreds of thousands of dollars to pursue the wedding party.

Interviewed by Wong Kar Wai, Leung said that he considered Maggie to be his alter ego. "Maggie is a truly formidable partner – one to waltz with. We do not spend a lot of time with each other, as we like to keep some mystery between us. Whenever I see her, I discover something new about her".

In 2014 he was selected as a member of the jury for the 64th Berlin International Film Festival.