Jennings is the only performer to have won an Olivier Award in the Drama, Musical and Comedy categories, winning Best Actor for Peer Gynt (1996, when he played the title role for the RSC), Best Actor in a Musical for My Fair Lady (2003, when he took over as Professor Henry Higgins from Jonathan Pryce in the transfer of the National Theatre's production of My Fair Lady at the Theatre Royal, Drury Lane) and Best Comedy Performance for Too Clever By Half (1988 at the Old Vic). He is an associate at both the National Theatre and the RSC. For the National, he most recently appeared as Alan Bennett in Untold Stories that subsequently transferred last year to the West End's Duchess Theatre, and he also starred at the National in the world premiere of Bennett's The Habit of Art, amongst many other productions that also include David Hare's Stuff Happens, David Edgar's Albert Speer, Shakespeare's The Winter's Tale, Coward's Present Laughter and The Relapse.

For the RSC, his credits include the title roles in Hamlet and Richard II and Theseus/Oberon in A Midsummer Night's Dream (in which he subsequently made his Broadway debut when it transferred to the Lunt-Fontanne Theatre). In 2008 he made his operatic debut in Robert Carsen's production of Candide at the London Coliseum. Other West End credits include Nicholas Hytner's productions of The Scarlet Pimpernel (at Her Majesty's Theatre) and The Importance of Being Earnest (Aldwych Theatre), and Peter Hall's production of The Wild Duck (Phoenix Theatre).

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