Cheung branched out to movies in 1984 and scored her first major role playing opposite Jackie Chan in Police Story (1985). She then demonstrated her considerable dramatic talent in 1988's As Tears Go By, followed by the cult classic The Iceman Cometh (1989), Red Dust (1990) and the critically well-received Ashes of Time (1994).
In 1996, Cheung splashed onto the world stage with her performance in Irma Vep, and in 1997 she cemented her international stardom with her first English-language film, Chinese Box.