Cox first came to prominence as a journalist, then a presenter, with RTÉ's Today Tonight, a four nights a week current affairs programme which dominated the Irish TV schedules in the 1980s. Cox left the programme to become a political candidate. In 1989 he was elected to Dáil Éireann as a TD for a Cork constituency for the Progressive Democrats, a small economically right wing socially liberal Irish party founded by Desmond O'Malley in 1985. Following O'Malley's retirement from the party leadership in the early 1990s, Cox unsuccessfully election to the post, but was beaten by Mary Harney. Cox became deputy leader.
Cox left the PDs in 1994 in a dispute over his seat as an MEP. It was expected that Cox would not contest his seat in the 1994 European Elections, with O'Malley, who had a large Munster base, becoming the party candidate. However Cox almost literally at the last minute chose not to do so, and contested the seat as an independent, where he beat O'Malley, the PD candidate, easily.
He was elected president of the ELDR group in the European Parliament in 1998 and was unanimously re-elected Group President in June 1999 following the elections to the European Parliament; he resigned this post on becoming President of the European Parliament.