| Deceptive Practice: The Mysteries and Mentors of Ricky Jay (2012)As Self | (Not seen) |
| Redbelt (2008)As Marty Brown | (Not seen) |
| The Brothers Bloom (2008) (AKA "Penelope")As Narrator (voice) | (Not seen) |
| The Great Buck Howard (2008)As Gil Bellamy | (Not seen) |
| The Prestige (2006)As Milton | (Not seen) |
| Last Days (2005)As Detective | (Not seen) |
| Incident at Loch Ness (2004)As Self - Party Guest | (Not seen) |
| Heartbreakers (2001) (AKA "Breakers")As Dawson's Auctioneer | (Not seen) |
| Heist (2001) (AKA "Le vol")As Don 'Pinky' Pincus | (Not seen) |
| That Moment: Magnolia Diary (2000) (AKA "That Moment: Magnolia Diary October 1998 - March 2000")As Self | (Not seen) |
| State and Main (2000)As Jack | (Not seen) |
| Magnolia (1999) (AKA "mag-no'li-a")As Burt Ramsey / Narrator | (Not seen) |
| Mystery Men (1999)As Vic Weems | (Not seen) |
| The Spanish Prisoner (1997)As George Lang | (Not seen) |
| Tomorrow Never Dies (1997) (AKA "Aquator")As Henry Gupta | (Not seen) |
| Boogie Nights (1997) (AKA "Pushing Thirteen")As Kurt Longjohn | (Not seen) |
| Ricky Jay and His 52 Assistants (1996)As Self | (Not seen) |
| Homicide (1991)As Aaron | (Not seen) |
| House of Games (1987)As George | (Not seen) |