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Cox was born in Dundee, Scotland, the youngest of 5 children. His mother, Mary Ann Guillerline (nee McCann), was a Roman Catholic spinner who worked in the jute mills and suffered several nervous breakdowns during Cox's childhood. His father, Charles McArdle Campbell Cox, was a weaver who died when Cox was nine years old, and Cox was subsequently raised by a sister and an aunt. Cox's ancestors were 19th century Irish immigrants to Scotland. Cox joined the Dundee Repertory Theatre at the age of fourteen. He spent a season with the Birmingham Repertory Theatre in 1966.

Cox was trained at the London Academy of Music and Dramatic Art. He made his first television appearance as an extra in several episodes of The Prisoner in 1967 before taking a lead role in The Year of the Sex Olympics the next year. In 1978, he played King Henry II of England in the acclaimed BBC2 drama serial, The Devil's Crown, following which he starred in many other television dramas. His first film appearance was as Leon Trotsky in Nicholas and Alexandra in 1971.

Cox is an accomplished Shakespearean actor, spending seasons with both the Royal Shakespeare Company and the National Theatre in the 1980s and 1990s. His work with the RSC included a critically acclaimed and harrowing performance as Titus in the rarely staged Titus Andronicus, as well as playing Petruchio in The Taming of The Shrew. He later went on to play King Lear at the National Theatre.

In 1986 during the production of Manhunter, while he was playing Hannibal Lecter, Anthony Hopkins was playing King Lear on stage at the National Theatre. Years later, during the production of The Silence of the Lambs, when Hopkins took over as Hannibal Lecter, Cox was playing King Lear at the National Theatre. At the time, the two actors shared the same agent.

In 1991 he played the part of Owen Benjamin in the ground-breaking and controversial BBC 'Screen 2' production of David Leavitt's novel The Lost Language of Cranes set in the 1980s as a closeted gay father to a gay son.

His most famous appearances include Rob Roy, Braveheart (both in 1995), The Ring, X2, Troy and The Bourne Supremacy. He usually plays villains, such as William Stryker in X2, the tyrannical Agamemnon in Troy, Pariah Dark in the Danny Phantom television series episode Reign Storm, and a devious CIA official in the Bourne films and in Chain Reaction. He has on occasion played more sympathetic characters, such as Edward Norton's father in 25th Hour, a fatherly police superior in Super Troopers, Rachel McAdams' father in Red Eye, and also appeared in the comedy Frasier as Daphne Moon's father. Cox has also been involved in the video game industry. Among his most prominent roles were Killzone, in which he played the ruthless Scolar Visari, and as the voice of Lionel Starkweather, a snuff film director in Manhunt.

Cox garnered critical acclaim for his performance in 2001's L.I.E., in which he played a pedophile who grows to genuinely (and platonically) care about a boy he had initially intended to molest. He won an Emmy Award and was nominated for a Golden Globe Award that year for his portrayal of Hermann Goring in the television mini-series Nuremberg. He also appeared in a supporting role as Jack Langrishe in the HBO series Deadwood.

In 2002, he appeared in Spike Jonze's Charlie Kaufman-scripted Adaptation as the real-life screenwriting teacher, Robert McKee, giving advice to Nicolas Cage in both his roles, as Charlie Kaufman and Charlie's fictional twin-brother Donald. In 2004, Cox played King Agamemnon in Troy (film), Cox was to play the lion Aslan in The Chronicles of Narnia: The Lion, the Witch and the Wardrobe, but was replaced by Liam Neeson. He appeared on a 2006 episode of the British car programme Top Gear (as a Star in a Reasonably Priced Car).

His radio work includes the BBC series McLevy (1999-2006), based on the real life detective James McLevy.

Cox narrated an abridged audio book version of Sir Walter Scott's novel Ivanhoe, and an unabridged audio book of J. R. R. Tolkien's The Silmarillion.

In 2008 Cox starred in Red, based on Jack Ketchum's novel. The film was directed by Lucky McKee and also starred Tom Sizemore, Amanda Plummer, and Angela Bettis. Cox also played an institutionalized convict in Rupert Wyatt's film, The Escapist, appearing alongside Joseph Fiennes, Dominic Cooper and Damian Lewis.

Cox is a diabetic and has worked to promote a diabetes research facility in his home town of Dundee. The producers of Super Troopers found this out the hard way, as one scene called for Cox to eat a white chocolate prop that resembled a bar of soap. Production was halted until a sugar-free substitute could be found.

He is a patron of "THE SPACE", a training facility for actors and dancers in his native Dundee and an 'ambassador' for the Screen Academy Scotland.

His son, Alan Cox, is also an actor, best known for his role in Young Sherlock Holmes.

In July 2008, Cox was awarded an Honorary Doctorate from Napier University, Edinburgh.

• Nicholas and Alexandra 1971 Trotsky
• In Celebration 1975 Steven Shaw
• King Lear 1983 Burgundy
• Manhunter 1986 Dr. Hannibal Lecktor (sic)
• Hidden Agenda 1990 Kerrigan
• The Lost Language of Cranes 1991 Owen Benjamin
• Inspector Morse: The Deadly Slumber 1993 Michael Steppings
• Sharpe: Sharpe's Rifles 1993 Major Hogan
• Sharpe: Sharpe's Eagle 1993 Major Hogan
• Iron Will 1994 Angus McTeague
• Rob Roy 1995 Killearn
• Braveheart 1995 Argyle Wallace
• Chain Reaction 1996 Lyman Earl Collier]
• The Glimmer Man 1996 Mr. Smith
• The Long Kiss Goodnight 1996 Dr. Nathan Waldman
• Kiss the Girls 1997 Chief Hatfield, Durham P.D.
• The Boxer 1997 Joe Hamill
• Desperate Measures 1998 Captain Jeremiah Cassidy
• Rushmore 1998 Dr. Nelson Guggenheim
• For Love of the Game 1999 Gary Wheeler
• The Minus Man 1999 Doug Durwin
• The Corruptor 1999 Sean Wallace
• Nuremberg 2000 Hermann Goring
• Mad About Mambo 2000 Sidney McLoughlin
• Super Troopers 2001 Capt. John O'Hagen
• L.I.E. 2001 Big John Harrigan
• The Affair of the Necklace 2001 Minister Breteuil
• The Rookie 2002 Jim Morris Sr.
• The Bourne Identity 2002 Ward Abbott
• The Ring 2002 Richard Morgan
• Adaptation. 2002 Robert McKee
• 25th Hour 2002 James Brogan
• The Trials of Henry Kissinger 2002 Narrator
• X2 2003 William Stryker
• Troy 2004 Agamemnon
• The Bourne Supremacy 2004 Ward Abbott
• Match Point 2005 Alec Hewett
• The Ringer 2005 Gary Barker
• Red Eye 2005 Joe Reisert
• Running with Scissors 2006 Dr. Finch
• The Flying Scotsman 2006 Douglas Baxter
• Terra 2007 General Hemmer (voice)
• Zodiac 2007 Melvin Belli
• The Water Horse: Legend of the Deep 2007 Old Angus
• Red 2008 Avery Ludlow
• The Escapist 2008 Frank Perry
• The Colour of Magic 2008 Narrator (voice)
• Agent Crush 2008 Spanners (voice)
• Trick 'r Treat 2008 Mr. Kreeg
• Shoot on Sight 2008 Daniel Tennant
• Wide Blue Yonder 2008 Wally
• The Good Heart 2008 Jacques
• Tell-Tale 2009 Van Doren