Sands began his film career appearing in supporting roles in films, including Oxford Blues (1984) and The Killing Fields (1984). He was cast as the romantic lead in the 1985 film A Room with a View.

In 1985, after the success of A Room with a View and Ken Russell's Gothic (1986) Sands decided to move to Hollywood and pursue a career in American films. He appeared in several of them, both lower-tier and higher-budget. He played the title role in the horror film Warlock (1989) and its sequel, Warlock: The Armageddon (1993), the role of Franz Liszt in Impromptu (1991), the role of Yves Cloquet in Naked Lunch (1991) and prominent roles in Arachnophobia (1990), Boxing Helena (1993) and Leaving Las Vegas (1995). He played "Erik, aka the Phantom," in the 1998 horror-film version of The Phantom of the Opera. He starred opposite Jackie Chan in the action-comedy film The Medallion (2003). He also played Sir Laurence Olivier in BBC Four's In Praise of Hardcore (2005), a drama about the critic and impresario Kenneth Tynan.

In television work, he was the voice of Valmont in the Jackie Chan Adventures cartoon (Seasons 1 and 2). He played the Doci of the Ori in two episodes of Stargate SG-1,in its ninth and tenth seasons (a role he reprised in the film, Stargate: the Ark of Truth). He played a college professor in an episode of The L Word (season one). In 2001, he starred in Stephen King's television production of Rose Red. Sands portrayed Austrian ambassador Klemens von Metternich in the 2002 miniseries Napoléon. In the 2006 season of the television series 24, Sands played the role of a terrorist named Vladimir Bierko. He also played the role of Jor-El, Superman's biological father, in the science-fiction TV series, Smallville, and reprised the role in the series' final (tenth) season.

In August 2011, he appeared onstage at the Edinburgh Fringe Festival in A Celebration of Harold Pinter, directed by John Malkovich at the Pleasance Courtyard.

In 2011, Sands appeared in the mystery thriller film The Girl with the Dragon Tattoo, an American remake of the original version, as the younger version of Henrik Vanger.

On 26 April 2013, it was announced that Sands would be appearing on the eighth (and final) season of Dexter, in the role of "Miles Foster, a wealthy international businessman".