Dunne began his professional acting career at age 19 with a small supporting role in The Other Side of the Mountain in 1975. He has since appeared on both film and television, starring in An American Werewolf in London (1981) as Jack Goodman, Johnny Dangerously (1984) as Tommy Kelly, After Hours (1985) as Paul Hackett, Who’s That Girl (1987) as Loudon Trott opposite Madonna, My Girl (1991) as Jake Bixler, Quiz Show (1994) as the Geritol Account Executive, Game 6 (2005) as Elliott Litvak, and I Like It Like That(1994) as Stephen Price. Dunne also played Dr. Vass, opposite Matthew McConaughey, in the Oscar-nominated 2013 film Dallas Buyers Club.
Dunne’s TV appearances include Frasier (pilot episode “The Good Son” as caller Russell, and in season 3 episode 11 “The Friend” as Bob), Saturday Night Live, Alias, and Law & Order: Criminal Intent (Episodes 5, 118, and 128). He portrayed Tony Mink in the comedy Trust Me on TNT. In 2012, Dunne guest-starred as management consultant Marco Pelios in seven episodes of the premiere season of the Showtime TV series House of Lies.
In 2018 he joined the cast of This is Us where he starred as Nicky Pearson, Jack Pearson’s brother until the series concluded in 2022.
Dunne’s first experience as a producer was the successful 1982 film, Chilly Scenes of Winter, an adaptation of the 1976 novel of the same name by Ann Beattie. Dunne and his co-producers, Amy Robinson and Mark Metcalf, had formed their production company, Triple Play Productions, in the late 1970s and optioned Beattie’s book after agreeing to her stipulation that she be given a role. The film had a less than successful short run in theaters when it was released three years earlier with a “happy” ending and an alternate title, at the insistence of the distributor, United Artists. The trio persevered to have the film re-released with a more realistic ending and the same title as the book, which proved more successful. Dunne had a small part in the film, as Mark, a young doctor. After Mark Metcalf left the company, Dunne and Robinson continued as producing partners. Their company, now called Double Play Productions, produced several films, including Baby It’s You, After Hours, Running on Empty and Game 6. In 1986, the company had signed an agreement with Metro-Goldwyn-Mayer for a two-year production agreement.
Dunne’s directorial debut was the 1995 short film Duke of Groove. For it, Dunne received a nomination for an Academy Award for Best Live Action Short Film, along with producer Thom Colwell.
Since then, he has directed five feature films, including Addicted to Love (1997) and Practical Magic (1998). He also directed one segment of the 2012 anthology film Movie 43. Dunne produced and directed Joan Didion: The Center Will Not Hold (2017), a documentary about his aunt, author Joan Didion, whom Dunne interviews and appears with on screen.