In the 1960s he played with visiting American blues, soul and jazz musicians including Rufus Thomas, Mose Allison, Otis Spann, and Champion Jack Dupree.

Other than his solo playing, he performed mostly as a sideman or as an equal collaborator, rather than a conventional leader – there was no regular Lol Coxhill Trio or Quartet as would normally be expected of a saxophonist.

He was thought to have largely inspired Joni Mitchell's song "For Free", while busking solo on the old footbridge which formed part of the Hungerford Bridge between Waterloo and Charing Cross.

[6] Coxhill collaborated with other musicians including Mike Oldfield, Morgan Fisher (of Mott the Hoople), Chris McGregor's Brotherhood of Breath and its musical descendant The Dedication Orchestra, Django Bates, the Damned, Hugh Metcalfe, Derek Bailey, Fred Frith and performance art group Welfare State.

Coxhill was compere and occasional performer at the Bracknell Jazz Festival, and a raconteur as well as a musician; he often would introduce his music by saying the words, "what I am about to play you may not understand".