His film roles include A Little Princess (1995), Jude (1996), Dog Soldiers (2002), The Crooked Man (2003), The Wind That Shakes the Barley (2006), Hunger (2008), The Escapist (2008), The Mummy: Tomb of the Dragon Emperor (2008), Good Vibrations (2013), Let Us Prey (2014) and The Childhood of a Leader (2015).

[4] In the 1980s, Cunningham moved to Zimbabwe for three years where he maintained electrical equipment at a safari park and trained Zimbabwean electricians.

Cunningham came to international prominence with his role as Captain Ryan in the critically acclaimed, independent horror film, Dog Soldiers (2002).

He also had roles in many high budget British and American films including The League of Gentlemen's Apocalypse (2005), The Mummy: Tomb of the Dragon Emperor (2008), Harry Brown (2009), Clash of the Titans, Centurion (both 2010).

[14][15] In 2012, Cunningham joined the main cast for the second season of HBO's Game of Thrones portraying former smuggler Davos Seaworth,[16] and in 2013 he starred in The Numbers Station alongside John Cusack.

[21] In February 2020, it was announced that Cunningham would voice Man-At-Arms in the Netflix animated series Masters of the Universe: Revelation.