In 1993, Menshikov collaborated again with Mikhalkov in their most famous film, Burnt by the Sun. Portraying a manipulative and suicidal NKVD agent during Stalin's Great Purge, Menshikov's performance brought him to the attention of a wide international audience. The film won the Grand Prize at the Cannes Film Festival and the Academy Award for Best Foreign Language Film.
Menshikov played the hero of Mikhalkov's 1998 The Barber of Siberia, with Julia Ormond playing his mistress. He appeared as Erast Fandorin in the 2005 film The State Councilor. He filled the role of Ostap Bender in the 2006 Russian mini-series based on The Little Golden Calf.
He is comparable in range of roles to the Western actor Colin Firth.
- Kinfolk (Родня) (1981)
- Flights In Dreams And In Reality (Полёты во сне и наяву) (1982)
- Pokrovsky Gates (Покровские ворота) (1982)
- My Favorite Clown (Мой любимый клоун) (1986)
- Moonzund (Моонзунд) (1987)
- Dyuba Dyuba (Дюба-Дюба) (1993)
- Burnt by the Sun (Утомлённые солнцем) (1994)
- Prisoner of the Mountains (Кавказский пленник) (1996)
- The Barber of Siberia (Сибирский цирюльник) (1998)
- East/West (Восток - Запад) (1999)
- Prime Suspect 6 (Главный подозреваемый 6: Последний свидетель) (2003, TV)
- The State Counsellor (Статский советник) (2005)
- Doctor Zhivago (Доктор Живаго) (2006)
- Burnt by the Sun 2 (2010)