Furst has been called "an heir to the tradition of Eric Ambler and Graham Greene," whom he cites along with Joseph Roth and Arthur Koestler as important influences.
Most of his novels since 1988 have been set just prior to or during the Second World War and he is noted for his successful evocations of Eastern European peoples and places during the period from 1933 to 1944.
Before becoming a full-time novelist, Furst worked in advertising and wrote magazine articles, most notably for Esquire, and as a columnist for the International Herald Tribune.
The Ransom collection remarks: "Of note is the April 1984 Esquire article, 'The Danube Blues,' which sparked Furst's interest in writing espionage novels.
While all his historical espionage novels are loosely connected (protagonists in one book might appear as minor characters in another), only The World at Night and Red Gold share a common plot.
Writing in The New York Times, the novelist Justin Cartwright says that Furst, who lives in Sag Harbor, Long Island, "has adopted a European sensibility.