| Year | Title | Role | Notes |
|---|
| 1986 | Where's Officer Tuba? | Officer Cheung | |
| Devoted to You | Jacky | |
| Soul | Jacky Cheung | |
| 1987 | The Haunted Cop Shop of Horrors | Macky Kim | |
| 1988 | The Eighth Happiness | Fang Chien Sheng | |
| The Haunted Cop Shop of Horrors 2 | Kam Mak-kei | |
| Couples, Couples, Couples | John Chen | |
| As Tears Go By | Fly | Hong Kong Film Award for Best Supporting Actor |
| Mother vs. Mother | Kuan Jen-chien | |
| Tiger Cage | Fong Chun Yau | |
| Faithfully Yours | Chan Hoi-sum | |
| 1989 | My Dear Son | Ho Tin-cheung | |
| Vampire Buster | Jacky | |
| Miracles | Recruiter at the Factory | Cameo |
| The Nobles | Dee | |
| Seven Warriors | One of the 7 Warriors | |
| Little Cop | Restaurant customer | Cameo |
| 1990 | Best Friend of the Cops | Tsai Tzu Chiang | |
| The Swordsman | Au Yang Kwan | Golden Horse Award for Best Supporting Actor
Nominated – Hong Kong Film Award for Best Supporting Actor |
| Curry and Pepper | Curry | |
| A Chinese Ghost Story II | Autumn | Nominated – Hong Kong Film Award for Best Supporting Actor |
| Bullet in the Head | Fai Jai | Nominated – Hong Kong Film Award for Best Actor |
| Demoness from Thousand Years | Mambo | |
| Point of No Return | Dee | |
| Days of Being Wild | York's pal | |
| 1991 | Off Track | Lui | |
| The Perfect Match | Jacky Kim | |
| The Raid | Bobo Bear | |
| Will of Iron | Jacky | |
| Chinese Legend | Kar Yat Lung | |
| A Chinese Ghost Story III | Swordsman Yin | |
| Once Upon a Time in China | So Sai-man ("Bucktooth" So) | Nominated – Hong Kong Film Award for Best Supporting Actor |
| Bullet for Hire | Shan | |
| Slickers vs. Killers | Bat | |
| The Banquet | Hok Yau | |
| 1992 | True Love | Vincent Lam | |
| The Days of Being Dumb | A Kei | |
| With or Without You | Prince | |
| Best of the Best | Li Man-kit | |
| Deadly Dream Woman | Ji | |
| Hot Hot and Pom Pom | Chien | |
| The Wicked City | Ken Kai | |
| 1993 | Future Cops | Broom Man | |
| Enigma of Love | Jackie | |
| The Eagle Shooting Heroes | Hung Chat | |
| Flying Dagger | Nine-tailed Fox | |
| No More Love, No More Death | Prince | |
| Boys Are Easy | Wu Ying | |
| 1994 | Love on Delivery | Himself | Cameo |
| To Live and Die in Tsimshatsui | Crazy Lik | Nominated – Hong Kong Film Award for Best Actor |
| The Private Eye Blues | Private Eye | |
| Ashes of Time | Hung Chat | |
| 1995 | High Risk | Wing Wai | Nominated – Golden Horse Award for Best Leading Actor |
| 1996 | Out of the Blur | Ang Si Laam Shing Haak | Short film |
| 1998 | Anna Magdalena | Policeman | Cameo |
| 1999 | Dragon Heat | |
| 2000 | Dinosaur | Aladar (voice) | Cantonese dub |
| 2002 | July Rhapsody | Lai Yiu-kwok | Nominated – Hong Kong Film Award for Best Actor |
| 2003 | Dragon Loaded 2003 | Police band member | Cameo |
| Golden Chicken 2 | Quincy | Nominated – Hong Kong Film Award for Best Actor
Nominated – Golden Horse Awards for Best Actor |
| 1:99 Shorts | 11 | Short film |
| 2004 | Jiang Hu | Mr. Lefty | |
| Super Model | Himself | Cameo |
| 2005 | Perhaps Love | Nie Wen | Hong Kong Film Award for Best Original Film Song |
| 2006 | The Heavenly Kings | | Cameo |
| 2008 | Bolt | Bolt (voice) | Cantonese dub |
| 2009 | Bodyguards and Assassins | Yang Quyun | Cameo |
| 2010 | Crossing Hennessy | Loy | Nominated – Hong Kong Film Award for Best Actor |
| Hot Summer Days | Wah | |
| 72 Tenants of Prosperity | Shek Kin | |
| 2013 | A Complicated Story | Yuk Cheung | |
| 2014 | Temporary Family | George | Cameo |
| 2015 | Helios | Professor Siu Chi-yan | |
| 2016 | From Vegas to Macau III | Yik Tin-hang | |
| Heaven in the Dark | Marco To | Nominated – Hong Kong Film Award for Best Actor
Nominated – Golden Horse Award for Best Leading Actor |
| Finding Dory | Marine Conservation Ambassador (voice) | Cantonese dub; cameo |
| 2024 | Customs Frontline | Cheung Wan-nam [1] | |
