He appeared in more than forty films since 1998. Kolokolnikov met with Director Kirill Serebrennikov, who invited him for a role in the television series Diary of a killer in the staging of "Sweet Bird of Youth" at the theater Sovremennik Theatre. The premiere took place in 2002.
In 2000, immediately after graduation, he went to Hollywood. During the year, he lived in Los Angeles and New York, working part-time as a waiter, a courier, a loader. Unable to break into the big cinema Kolokolnikov returned to Moscow.
Kolokolnikov has a daughter Taisia, born in 2006. His life partner was Actress Kseniya Rappoport until 2014. From this relationship, Yuri has a daughter named Sofia, born in January 2011.
In 2013, he dictated the text of the annual educational action "Total dictation" on the MSU Faculty of Journalism.
In 2014, he played the role of Styr, Magnar of Thenn in the fourth season of the television series Game of Thrones.
He had a lead role in the Russian 2016 comedy film Breakfast With Daddy. The film is about a wealthy man who discovers that he has a 10 year old daughter.
In the 2017 American action-comedy The Hitman's Bodyguard, Kolokolnikov played a Belorussian mercenary leader Ivan.
