- His voice can be heard on several of the Naxos Audiobooks.
- Played "Jimmy Porter" in a 1995 revival of "Look Back in Anger", by John Osborne (Gregory Hersov - director) at the Manchester Royal Exchange Theatre.
- Played "Konstantin" in a 1995 revival of Anton Chekhov's "The Seagull" (Robert Sturua - director) with the Thelma Holt Theatre Company on a UK tour.
- Appeared as "Lenny" in a 1996 revival of "The Homecoming", by Harold Pinter (Roger Mitchell - director) at the Lyttelton Theatre, Royal National Theatre.
- Appeared as "Peer Gynt" in a 1994 revival of Henrik Ibsen's "Peer Gynt" (adaptation by Frank McGuinness, Yukio Ninagawa - director) for the National Theatre Endemble at the Barbican Theatre, London and in Oslo, Norway and Tokyo, Japan.
- Appeared as "Romeo" in a 1992 revival of William Shakespeare's "Romeo and Juliet" (Gregory Herson - director) at the Manchester Royal Exchange Theatre followed by a UK Tour. He was nominated for the Manchester Evening News Award for Best Actor for his performance.
- Appeared as Alexandros Eliopolos in Sherman's 1991 play "When She Danced" which starred with Vanessa Redgrave (Robert Ackerman - director) at the Globe Theatre, London.
- As a member of the theatre company Check By Jowl, his credits include: "Don't Fool With Love" (Declan Donellan, 1993), Fred in "Moonlight" (a new play by Harold Pinter, David Leveaux - director at the Almeida Theatre, London). Sheen was nominated for Sunday Times Royal National Theatre Ian Charleston Award for his performance.
- In 1997, together with Helen McCrory he created Foundry, a new writing company.
- As one of the founders of "Thin Language", a theatre company for Wales, he appeared in and/or directed the 1997 theatrical productions of "Badfinger" (by Simon Harris) at the Donmar Warehouse, London and in "Wales" and "Forever Yours Mary Lou" by Trembly-Author (Welsh adaptation by Sian Evans) in Swansea, Cardiff and London.
- Appeared as Henry V in a 1997 production of "Henry V" by William Shakespeare (Ron Daniels - director) with the Royal Shakespeare Company at Stratford, at the Barbican, London and on UK tour. He was a finalist for the 1997 Royal National Theatre-Sunday Times Ian Charleston Award for his performance.
- Appeared as Caligula in a 2003 production of "Caligula" by Albert Camus (translation by David Greig, Michael Grandage - director) at the Donmar Warehouse, London. He was awarded the Evening Standard Theatre Award for Best Actor, The Critics Circle Theatre Award for Best Actor and was nominated for the Laurence Olivier Award (2003 season) for Best Actor for his performance.
- Appeared as Jimmy Porter in a 1999 revival of "Look Back In Anger" by John Osborne (Gregory Hersov - director) at the Lyttelton Theatre, London. He was nominated in 2000 for the Evening Standard Drama Award for Best Actor and the Laurence Olivier Award for Best Actor for his performance.
- Appeared as Wolfgang Amadeus Mozart in a revival of "Amadeus", by Peter Shaffer (Peter Hall - director) at the Old Vic, London (1998), and in New York (2000) and Los Angeles. He was nominated for the Outstanding Actor in a Play - Outer Critics Circle Award, and for the Laurence Olivier for Best Supporting Performance in a Play for his performance.
- Appeared as Norman in a 1995 revival of "The Dresser" by Ron Harwood - Drum Theatre, Plymouth/ Lyttelton Theatre (National Theatre) in 1999.
- Appeared in a 1994 production of "Le Livre de Spencer" by 'Zéno Bianu-Author' (Lluis Pasqual - director) at the Odéon-Théâtre de l'Europe in Paris, France.
- Played Daniel in the 1996 premiere of "The Ends of the Earth" by David Lan (Andrei Serban - director) at the Royal National Theatre.
- Appeared as Lord Fancourt Babberley in a 1994-95 revival of "Charley's Aunt" by Brandon Thomas (Emil Wolk - director) with Ian Puleston-Davies who would go on to write Dirty Filthy Love (2004) which Sheen starred in.
- Played Martin Remington Gammon in the 2005 premiere of "The U.N. Inspector" (a new adaptation of Gogol's "The Government Inspector") at the National Theatre in London.
- Played David Frost in "Frost/Nixon", a new play by Peter Morgan Donmar Warehouse/ Gielgud Theatre, London (2006)/ Bernard B. Jacobs Theatre, NYC (2007).
- (1993) He acted in Harold Pinter's play, "Moonlight," at the Almeida Theatre in London, England and Comedy Theatre in London, England with Anna Massey, Douglas Hodge, and Ian Holm in the cast. Harold Pinter was also director.
- (1994) He acted in Henrik Ibsen's play, "Peer Gynt," in a Royal Shakespeare Company production at the Barbican Theatre in London, England with Catherine White, Paola Dionisotti, Bronagh Gallagher, Espen Skjonberg, Miriam Kelly and Haruhike Joh in the cast. Yukio Ninagawa was director.
- (2010) Appeared with actress Anna Friel as a pair of chess players in the Manic Street Preachers' music video: "(It's Not War) Just the End of Love".
- (1991) He acted in Martin Sherman's play, "When She Danced", at the Globe Theatre in London, England with Vanessa Redgrave and Frances de la Tour in the cast.
- (1993) He acted in Harold Pinter's play, "Moonlight," at the Comedy Theatre in London, England with Ian Holm, Anna Massey, Douglas Hodge, Claire Skinner, and Edward De Souza in the cast. David Leveaux was director.
- (1993) He acted in Harold Pinter's play, "Moonlight," at the Almeida Theatre in London, England with Ian Holm, Anna Massey, Douglas Hodge, Claire Skinner, and Edward De Souza in the cast. David Leveaux was director.
- (1995) He acted in John Osborne's play, "Look Back In Anger," at the Royal Exchange Theatre in Manchester, England with Claire Skinner, Dominic Rowan, and Hermione Norris in the cast. Gregory Hersov was director.
- (1998) He acted in Peter Shaffer's play, "Amadeus," at the Old Vic Theatre in London, England with David Suchet, Lucy Whybrow, Charles Kay, Peter Blythe, Christopher Benjamin, and Karl Johnson in the cast. Peter Hall was director.
- (February 1996-June 1996; July 1996-September 1996; December 1996-February 1997) He acted in the Royal National Theatre repertoire season the Cottesloe Theatre; Laurence Olivier Theatre; and the Lyttelton Theatre in London, England in Bertolt Brecht's play, "Mother Courage and Her Children; Stephen Sondheim's musical, "A Little Night Music;" Ben Jonson's play, "Volpone; Friedrich Schiller's play, "Mary Stuart;" Tom Stoppard's play, "Rosencrantz and Guildenstern Are Dead;" James McClure's play, "Wild Oats;" William Congreve's play, "The Way of the World;" Morris Panych's play, "The Ends of the Earth;" Aristophanes's play, "Frogs;" Pam Gems' play, "Stanley;" William Shakespeare's play, "Richard II;" "The Prince's Play;" Dennis Potter's play, "Blue Remembered Hills;" Wallace Shawn's play, "The Designated Mourner;" Sophocles's play, "The Oedipus Plays;" Albert Lamorisse's play, "The Red Balloon;" Robert Le Page's play, "The Seven Streams of The River Ota;" Henrik Ibsen's play, "John Gabriel Borkman;" Stephen Poliakoff's play, "Blinded by the Sun;" Leo Tolstoy's play, "War and Peace;" Harold Pinter's play, "The Homecoming;" Martin McDonagh's play, "The Cripple of Inishmaan;" Robert LePage's play, "Elsinore;" Caryl Churchill's play, "Light Shining in Buckinghamshire;" Frank Loesser's play, "Guys and Dolls;" Arthur Miller's play, "Death of a Salesman;" and Peter Oswald's play, "Fair Ladies at A Game of Cards;" with Roger Allam, Alun Armstrong, Eileen Atkins, Gillian Barge, Simon Russell Beale, Duncan Bell, Ed Bishop, James Bolam, Samantha Bond, David Bradley, Michael Bryant, Selina Cadell, Cheryl Campbell, Anna Chancellor, Sean Chapman, Alan Cox, Graham Crowden, Frances De La Tour, David De Keyser, Judi Dench, Paola Dionisotti, Lucy Dixon, Pip Donaghy, Lindsay Duncan, Avril Elgar, Tenniel Evans, Deborah Findlay, Michael Gambon, Henry Goodman, Michael Gough, David Haig, Greg Hicks, Patricia Hodge, Douglas Hodge, Ian Hogg, Alan Howard, Isabelle Huppert, Geoffrey Hutchings, Rhys Ifans, Louise Jameson, Paul Jesson, Karl Johnson, Will Keen, Sam Kelly, Robert LePage, Anton Lesser, Tom Mannion, Eddie Marsan, Anna Massey, John McEnery, Clive Merrison, Ben Miles, Iain MItchell, Dearbhla Molloy, John Normington, Trevor Peacock, Clarke Peters, Sian Phillips, Tim Pigott-Smith, Veronica Quilligan, Vanessa Redgrave, Miranda Richardson, Joanna Riding, Diana Rigg, Clive Rowe, Andrew Sachs, Adrian Scarborough, Paul Scofield, Tony Selby, Cyril Shaps, Lesley Sharp, Fiona Shaw, Antony Sher, Geraldine Somerville, Imelda Staunton, Ken Stott, Mark Strong, Clare Swinburne, David Threlfall, Anny Tobin, Pip Torrens, Harry Towb, June Watson, Benjamin Whitrow, Lambert Wilson, Sarah Woodward, and Marjorie Yates in the company.
- (2016) TV commercial for UNICEF (UK) (slogan: For Every Child in Danger) - Spokesperson
- (October 10 to November 28, 1999) He acted in Peter Shaffer's play, "Amadeus," at the Ahmanson Theatre in Los Angeles, California with David Suchet in the cast. Peter Hall was director. William Dudley was costume designer.
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