Whigham appeared in one 1997 episode of the television series Ghost Stories before he received a starring role in the 2000 film Tigerland. He went on to appear in the television films Submerged, R.U.S./H., and Paradise before acting in the 2003 film All the Real Girls. Between 2004 and 2006, he appeared in the Japanese film Out of This World, the drama television series Medical Investigation, and the films Water, Man of the House, Faith of My Fathers, Lords of Dogtown, Psychic Driving, and South of Heaven.

Between 2012 and 2017 he had several movie roles, such as The Wolf of Wall Street, American Hustle, Silver Linings Playbook, Term Life, and Kong: Skull Island. In 2018, he appeared in the films Sicario: Day of the Soldado, First Man, and Bad Times at the El Royale. In 2019 he appeared in the Warner Bros./DC Comics psychological thriller Joker as GCPD Detective Burke. He also appeared in both seasons of HBO’s Vice Principals as Ray Liptrapp; appeared in Fargo and the miniseries Waco; and he starred in the television series Homecoming alongside Julia Roberts for which he was nominated for a Critics’ Choice Television Award for Best Supporting Actor in a Drama Series. In 2020 he was cast as Pete Strickland on HBO’s reimagining of Perry Mason, a role for which he received attention for his moustache.

He had a regular leading role on the HBO series Boardwalk Empire as Elias “Eli” Thompson, sheriff of Atlantic County, New Jersey for the show’s entire run. In 2014, he appeared in the HBO series True Detective as disillusioned former minister Joel Theriot. He appeared in two episodes of FX’ Justified during 2015.