Following the death of his father, Cosey and his mother moved to Phoenix, Arizona, where he spent his teenage years and began developing his guitar style.

[6][7] Prior to joining the Miles Davis band in 1973, Cosey was a busy session guitarist with Chess Records, playing on records by Jerry Butler, John Klemmer, Fontella Bass ("Rescue Me"),[6] Rotary Connection, Howlin' Wolf (The Howlin' Wolf Album), Muddy Waters (Electric Mud, After the Rain) and Little Milton.

[8] He was an early member of the Pharaohs, and a group with drummer Maurice White and bassist Louis Satterfield that eventually evolved into Earth, Wind & Fire.

In 1987, he replaced Bill Frisell in the trio Power Tools with bassist Melvin Gibbs and drummer Ronald Shannon Jackson (a live recording is available through RSJ's website).

In 2003, Cosey appeared on an episode of American television's The People's Court, successfully suing a promoter for failing to pay fully for a Children of Agharta gig.

The episode followed Marshall Chess and Chuck D (of Public Enemy) reuniting the musicians from Muddy Waters' Electric Mud album to record a new track.

In July 2006, Cosey was fleetingly glimpsed during the finale of Bill Laswell's PBS Soundstage concert (his performance having been edited out of the broadcast).

He played guitar (using several distortion pedals, often bowing the strings like a violin), African thumb piano, and a zither given to him by Miles Davis.