Brady is a writer, director and performer. He made his feature directorial debut in 2015 with The Childhood of a Leader. The film was lauded with critical acclaim and decorated at the Venice Film Festival. His second feature film, Vox Lux was hailed by critics after it premiered in competition at the 2018 Venice Film Festival, London Film Festival and Toronto International Film Festival.

His recent original feature The Brutalist recently won Brady Best Picture and Best Director at the Golden Globes.