His first feature film, the cult classic Killing Zoe, garnered best film awards in Japan's Yubari International Film Festival, Italy's MystFest, and the Cannes Festival's Prix Tres Special. The film was released by New York based October Films and has won favorable, if not heated, reviews. The film has been hailed by Daily Variety, Cahiers du Cinema, and the Village Voice as one of the finest debut films of the last twenty years. In 1994 Roger wrote, directed, and produced a pilot for an international syndicated television series for Rysher Entertainment titled Mr. Stitch. In 1997 Roger collaborated with Aaron Spelling and NBC to create the neo-noir underworld crime series Odd Jobs. He has also collaborated with director Quentin Tarantino as co-author of his Cannes Film Festival Palm d'Or winner Pulp Fiction.

In 1995 the two shared best writing accolades from the Los Angeles Film Critics Association, the New York Film Critics' Circle, the Boston Society of Film Critics, the National Society of Film Critics, the Academy of Motion Picture Arts and Sciences, and the British Academy of Film and Television for their work on "Pulp". This phenomenal success has led to a prolific writing career for Roger, working at Warner Brothers, Paramount, Dreamworks, and others. Roger has been very active as a producer, both on his television projects, and the independent films Boogie Boy and "The Last Man". Avary is currently preparing his next film as director, "Gala Dalí", a bent love story based on the false memories of Spanish Surrealist, Salvador Dalí, for Lion's Gate Entertainment.