Cockbain played club rugby for London Irish, then came to Wales in 1999 to join Pontypridd RFC.
On 3 December 2007, Cockbain signed for the English Premiership side Sale Sharks on a 2½ year contract.
This match also saw Mike Ruddock take charge of the side for the first time, albeit only for the one game.
In the 2004–05 season he helped Wales win the Grand Slam, scoring his first international try against Italy.
He was flown out to join the 2005 British & Irish Lions tour to New Zealand as a late replacement after Danny Grewcock had been banned for biting.