Roxburgh graduated from prestigious Australian theatrical school NIDA (National Institute of Dramatic Arts) in 1986, first gaining attention with his role as corrupt NSW police detective Roger Rogerson in the television miniseries Blue Murder, for which he won an AFI and a Silver Logie for best actor in a television series.
Following several years working in Australian theatre, in 2000 Roxburgh appeared in his first of a string of international blockbusters, including Mission: Impossible III (2000) and Van Helsing (2004). He went on to play villainous characters in films such as The League of Extraordinary Gentlemen (2003) and Moulin Rouge! (2001). In 2007 Roxburgh directed his first feature film, Romulus My Father starring Eric Bana and Kodi Smit-McPhee.
When asked what attracted him to the challenging role of David, Roxburgh said, “I have a fancy for…not the irredeemable, but for people who have fallen. The project is extraordinary…it touches on some extremely difficult subjects but with enough grace and levity to make them really quite beautiful”.