He has directed numerous musical productions, both concert and non-concert, with the New York Philharmonic, which include Stephen Sondheim's Sweeney Todd with Patti LuPone and George Hearn in 2000, for which he won an Emmy Award, Leonard Bernstein's Candide (2004), with Kristin Chenoweth, Sir Thomas Allen, and Patti LuPone, Passion with Patti LuPone and Audra McDonald, for which he also won an Emmy Award, and Camelot with Gabriel Byrne, Marin Mazzie, Christopher Lloyd, and Nathan Gunn, among other productions.
In 2000, Price co-wrote (with Linda Kline), directed, and starred in A Class Act, based on the life and career of composer-lyricist Edward Kleban, whose sole Broadway credit was A Chorus Line. The score consisted of songs Kleban had written for other shows that remained unproduced. After a two-month run at the Manhattan Theatre Club, it transferred to the Ambassador Theatre, where it fared less successfully and closed after three months. It earned Price his sole Tony Award nomination to date, for Best Book of a Musical. The show was also nominated for four other Tony Awards, including Best Musical. He directed a Broadway revival of 110 in the Shade at the Roundabout Theatre Company in 2007, starring Audra McDonald. The play was nominated for the 2007 Tony Award, Best Revival of a Musical (among others). He directed the 2014 Broadway production of Lady Day at Emerson's Bar and Grill starring McDonald, who won her historic sixth Tony Award for her performance as Billie Holiday. He would subsequently stage the production in 2017 on the West End in London, again starring McDonald, as well as the HBO special. In 2016, he directed the acclaimed London revival of Sunset Boulevard starring Glenn Close, which transferred to Broadway and played a limited run in 2017.