He has worked extensively creating original music for film. He scored Paul Thomas Anderson’s films Hard Eight (1996) and Boogie Nights (1997); he also appears in the latter in a cameo role as a recording engineer. During the editing of the film, Anderson directed a music video with Penn for “Try” from Resigned (the video can be found on the Boogie Nights DVD). Other films scored by Penn include Alan Cumming’s first two directorial efforts, The Anniversary Party and Suffering Man’s Charity; American Teen, Sunshine Cleaning; the documentary The Comedians of Comedy; and The Last Kiss. In 2003, he was nominated for a DVDX Award for Best Original Score in a DVD Premiere Movie for Melvin Goes to Dinner.

In August 2005, Penn released Mr. Hollywood Jr., 1947 on his own Mimeograph Records label. Its songs are set against the background of post-World War II Los Angeles; Penn said he chose the year because of several notable events that took place then, including the passage of the National Security Act and the invention of the transistor. The album was reissued by Legacy Recordings in April 2007 with bonus tracks from a KCRW session.

In late 2009, Penn composed the music for the film That Evening Sun.

In 2012 Penn began work as the composer for the HBO TV show Girls.

In January 2013, the “Girls VOL.1” soundtrack was released on iTunes. The album contained a new song by Michael Penn titled “On Your Way”, which was featured in the finale of Season 1.

He also joined the crew of Showtime’s Masters of Sex in 2013 as series composer. The show’s pilot episode was initially set to be scored by Thomas Newman, but this did not come to fruition and Penn scored both the pilot and the rest of the series.

In 2018, he joined two new TV series as a composer – Good Girls on NBC and Here and Now on HBO.

In 2020, Penn released a new single, “A Revival”. It was his first non-soundtrack work in fifteen years.