He began his directing career in the late 1970s, initially working in comedy, directing episodes of a number of sketch shows such as Cannon and Ball and End of Part One. He made the move into directing drama in the early 1980s, working on episodes of popular BBC dramas such as Bergerac and Lovejoy.
Sax's first theatrically released feature film, White Noise, was released in January 2005, entering the US Box Office top ten at No. 2. His second feature, Stormbreaker — based on Anthony Horowitz's Alex Rider novel of the same name — was released in the summer of 2006. He also directed the film Frankie & Alice in 2010.