Since his film debut in the television movie Feasting with Panthers (1974), he has steadily been working in film. Some of his earlier film credits include Hannah and Her Sisters (1986), The Witches of Eastwick (1987), How to Make an American Quilt (1995), Snow Falling On Cedars (1999), North Country (2005). He is also an occasional collaborator with the director siblings the Farrelly brothers, who have worked with Jenkins in There's Something About Mary (1998), Me, Myself, & Irene (2000), Outside Providence (1999), and Say It Isn't So (2001). He has also worked frequently with the Coen Brothers: The Man Who Wasn't There (2001), Intolerable Cruelty (2003), The Visitor (2007),and Burn After Reading (2008).

Although known primarily for supporting parts, he had a critically acclaimed lead role in The Visitor (2008), for which he was nominated for the Independent Spirit Award and a nomination for an Academy Award for Best Actor. Jenkins won the International Press Academy's Satellite Award for Best Actor – Motion Picture Drama.

Jenkins has been cast in the Joss Whedon/Drew Goddard horror The Cabin in the Woods (2010).