In 2002, Mak and Chong wrote their first script together. The movie was Infernal Affairs, which was produced by Mak's directing partner, Andrew Lau, who also served as cinematographer. Lau and Mak also served as directors for the film, and it would be the first of many collaborations involving the directing duo.
In 2003, Lau and Mak had completed the trilogy with the prequel Infernal Affairs II and the sequel/prequel Infernal Affairs III. That same year, Mak received the 2003 Leader of the Year award in the Sports/Culture/Entertainment category.
In 2004, Lau and Mak worked on another blockbuster, Initial D, which was shot in Japan and released in Hong Kong during the summer. Once again, it was also another successful film for Lau and Mak, winning multiple awards at the Hong Kong Film Awards, winning for Best New Performer (Jay Chou), Best Supporting Actor (Anthony Wong Chau Sang| Anthony Wong), and Best Visual Effects.
In 2006, Lau, Mak and scriptwriter Felix Chong re-teamed to make the 2005 film, Moonlight in Tokyo. They re-teamed again for the 2006 film Confession of Pain, once again re-teaming with Infernal Affairs star Tony Leung Chiu-Wai. He also created The Silent War.