Lau joined Shaw Brothers Studios after graduating from secondary school. He made his film debut as a semi-skilled cinematographer for Lau Kar-leung’s 1982 film, Legendary Weapons of China. He later served as a cinematographer for Sammo Hung’s 1986 martial arts film Millionaire’s Express and Ringo Lam’s 1987 crime thriller City on Fire, where he became known for his use of lighting and hand-held cinematography. His work on As Tears Go By (1988), the directorial debut of Wong Kar-wai, earned him his first Hong Kong Film Award nomination for Best Cinematography. He also shot the beginning portion of Wong Kar-wai’s Chungking Express in 1994 (Christopher Doyle was cinematographer for the film’s second half).

Lau become a film director and producer on top of still being a cinematographer. He made his directorial debut with the 1990 action film Against All. Lau went on to make films for prolific filmmaker Wong Jing, including the 1993 Category III film Raped by an Angel and the 1994 film To Live and Die in Tsimshatsui. In 1996, Lau directed and photographed the 1996 film Young and Dangerous, a film centered on Hong Kong’s Triad society. The film was a huge success in Hong Kong, but also gained controversy for its glorification of Triads. The film spawned a several sequels and spin-offs, in which Lau directed seven sequels and one prequel. While filming the franchise, Lau teamed up with screenwriter Manfred Wong and film producer Wong Jing to establish BoB and Partners Co. Ltd., a company responsible for films made by the trio of filmmakers. The trio’s collaborations proved to be successful with films such as The Storm Riders, The Legend of Speed, and The Duel.

In 2002, Lau established Basic Pictures, a company responsible for the films in which he served as a producer and director. That year saw the success of Infernal Affairs a crime thriller that the largest ensemble cast of any Hong Kong film that year. Infernal Affairs became a huge box-office success in Hong Kong, even being deemed as a “box-office miracle” at a time when Hong Kong cinema was said to have been lacking in creativity. Infernal Affairs also marked the first of several collaborations with co-director Alan Mak, and screenwriter Felix Chong. Other films made by the directors and screenwriter include the sequels to Infernal Affairs (Infernal Affairs II and Infernal Affairs III), Initial D and Confession of Pain.

In 2007, Lau directed a five-minute short film, for Vision Beijing, a project of the Beijing Foreign Cultural Exchanges Association and the Information Office of the Beijing Municipal Government. Lau’s short film was centered on Beijing cuisine, and consisted of actors from China, Hong Kong and Taiwan serving as “ambassadors”. The cast included Tony Leung Chiu-Wai, Shu Qi, and Jay Chou, actors who had appeared in several of Lau’s films.

In 2009, Lau directed an eight-minute commercial promoting the Acura TL luxury car. The commercial is divided into three stories and features Andy Lau as a wine manor and Gwei Lun-mei as an artist. Filming took place in San Francisco, California with an American production team.

In 2014, Lau directed an American action crime drama film Revenge of the Green Dragons, which was co-directed by Andrew Loo and executive produced by Martin Scorsese. The film has been screened at a number of international film festivals, and had also received a day-and-date theatrical and VOD release in the United States. In December 2014, Lau said that the film was able to make profit.