[7][8] Shah has acted in films such as Nishant, Aakrosh, Sparsh, Mirch Masala, Albert Pinto Ko Gussa Kyon Ata Hai, Trikal, Bhavni Bhavai, Junoon, Mandi, Mohan Joshi Hazir Ho!, Ardh Satya, Katha, and Jaane Bhi Do Yaaro.

In 1988, he played opposite his wife Ratna Pathak as Inspector Ghote, the fictional detective of H. R. F. Keating's novels in the Merchant Ivory English language film The Perfect Murder.

Shah was noted for his roles in the 1999 Aamir Khan-starrer Sarfarosh, where he played Gulfam Hassan – a ghazal singer-cum-terrorist mastermind — and in Neeraj Pandey's A Wednesday (2008).

Shah has also starred in international projects, such as Monsoon Wedding in 2001 and a Hollywood adaptation of The League of Extraordinary Gentlemen in 2003 (co-starring Sean Connery), where he played Captain Nemo.

He worked in Vishal Bhardwaj's Indian adaptation of Shakespeare's Macbeth, titled Maqbool, in 2003, and Rajiv Rai's Asambhav opposite Arjun Rampal and Priyanka Chopra in 2004.

He acted in Anup Kurian's The Blueberry Hunt, playing a recluse growing marijuana in his forest retreat, and in Waiting, starring opposite Kalki Koechlin, both of which were released in 2016.

Shah made his Pakistani film debut in Khuda Ke Liye by Shoaib Mansoor, where he played a short cameo.

It stars several established actors such as Konkona Sen Sharma, Paresh Rawal, Irrfan Khan, then-newcomer Ayesha Takia, his son Imaad Shah and his old friend Ravi Baswani.

[13] In 1988, he acted in the eponymous television series based on the life and times of Mirza Ghalib, directed by Gulzar and telecast on DD National.

[14] In 1989, he acted as the Maratha King Shivaji in another eponymous television series Bharat Ek Khoj based on Jawaharlal Nehru's book The Discovery of India.

He played the villain with the dual identity of a ghazal singer and a Pakistani spy who supports terrorism in India in Sarfarosh (1999).

[20] He also acted as lead in The Coffin Maker directed by Veena Bakshi, which however never got released in public but only remained for private viewership.

He then presented the unfinished version to his friend, historian Ramchandra Guha, who encouraged Shah to complete it and send it to a publication house.