[4] In 1981, Sheridan emigrated to Canada, but eventually settled in the Hell's Kitchen section of New York City in the United States.

In 2003, he released the semi-autobiographical In America, which tells the story of a family of Irish immigrants trying to succeed in New York.

The film received positive reviews and earned Samantha Morton and Djimon Hounsou Academy Award nominations.

Sheridan directed the 2009 film Brothers, starring Tobey Maguire, Jake Gyllenhaal, and Natalie Portman, which was shot in New Mexico.

He also directed the thriller Dream House,[7] which starred Daniel Craig, Naomi Watts, and Rachel Weisz.