As a cover artist, McKean provided many covers for the DC Comics title Hellblazer, among others. Perhaps his most celebrated work is DC's The Sandman by Neil Gaiman, for which McKean designed, photographed, drew and put together all 75 covers of the ongoing series, plus the 10 covers for the collected editions, a further 10 for the paperbacks, and then the revised re-released paperbacks!
McKean has also worked as story artist for many comic books and graphic novels. He has collaborated with Neil Gaiman on many projects, ranging from complex graphic novels such as Signal to Noise to children's picture books like The Day I Swapped My Dad For Two Goldfish. He also provided the art for Grant Morrison's Arkham Asylum, about the inmates of the infamous madhouse which houses Batman's villains in the DC Universe.
His 10-part self-written and drawn comic book series Cages was published by Tundra press in the early 1990s.
Dave McKean also designs and creates numerous CD, record and album covers for a diverse range of groups and people.
He has also done work as a filmmaker, mostly in short films. As of 2003, he is engaged in making the feature film MirrorMask. The screenplay was written by Neil Gaiman from a scenario by McKean, who is the film's director and visual designer.