- Has said numerous times in interviews that he would like to work with Martin Scorsese.
- Maggie Cheung and Tony Leung Chiu-wai were called the Lauren Bacall and Humphrey Bogart of Chinese cinema by the Straits Times of Singapore on January 22, 2003. They said that they could not ever be lovers because of personality differences.
- Can speak fluent English.
- Admired by several Hollywood actors such as Robert De Niro and Brad Pitt.
- He was a fan of Marvel before being cast as Wenwu. He is a fan of Deadpool and Iron Man.
- He frequently plays brooding, rebellious, dark anti-heroes who often hesitantly team up with (and arise misplaced suspicion in) more clean-cut protagonists.
- Stated he was not planning on having children. He shared his views about the responsibilities involved in looking after another person, and of his commitment to his mother, sister and Carina. His wife had stated that he was not keen on having children, as he is not fond of young kids.
- He and Andy Lau made 7 movies together: Days of Being Wild (1990), Come Fly the Dragon (1992), The Banquet (1991), The Tigers (1991), Infernal Affairs (2002), Infernal Affairs III (2003), and Don't Fool Me (1991). They also starred together in two short-lived tv-series: The Yangs' Saga (1985) and The Duke of Mount Deer (1984).
- He and Maggie Cheung made 7 movies together: 2046 (2004), Days of Being Wild (1990), Ashes of Time (1994), In the Mood for Love (2000), The Banquet (1991), The Eagle Shooting Heroes (1993), and Hero (2002). They also starred together in a short-lived tv-series: San jaat si hing (1984).
- Has co-starred frequently with Maggie Cheung.
- Has been called the Asian Clark Gable.
- In Hong Kong, he is called Short Tony to distinguish him from fellow actor Tony Ka Fai Leung, known as Big Tony.
- He met his sweetheart Margie Tsang (his first public relationship) in 1983. In a span of four years, they broke off and reunited three times before finally calling off the relationship in 1989. In that year, he started dating Carina Lau.
- Was encouraged by Stephen Chow to try out acting as TVB was holding acting classes. They have acted in one movie called The Wedding Banquet (1993).
- His father left his mother and him at the age of 7.
- Announced that he will marry longtime girlfriend Carina Lau in 2008.
- He was one of the Five Tigers in TVB with Andy Lau, Felix Wong, Michael Kiu Wai Miu, and Kent Tong in the 1980s.
- Often goes on skiing vacations in Japan with longtime girlfriend Carina Lau.
- Longtime companion of Carina Lau since 1989.
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