Sheen was born at Newport, Monmouthshire, Wales, and brought up in Port Talbot. He joined the National Youth Theatre of Wales at sixteen, and soon established himself as one of the most promising talents on the theatrical scene. His screen appearances include the BBC drama serial, Gallowglass (based on the novel by Ruth Rendell, and the films Wilde (1997) (in which he played Robert Ross) and Mary Reilly. However, he remains primarily a stage actor, having starred in high-profile productions of Henry V, Peer Gynt, The Dresser, Caligula and Look Back in Anger, among others.
After living for a time in the USA with partner Kate Beckinsale, he returned to the UK after their relationship ended. In 2003, he appeared with Beckinsale in Underworld, and played Tony Blair in the Channel 4 drama, The Deal.