- Turned down offers to direct Tres amigos (1986) and Robocop, el defensor del futuro (1987) in favour of Walker (1987).
- Said on the commentary of the Criterion Collection DVD that Walker (1987) is his best film.
- Went to law school with Tony Blair.
- He was asked to direct El sobreviviente (1987).
- In a March 2007 blog post, Cox referred to Vice President Dick Cheney as "secret architect of the 9-11 atrocities." In the same article, Cox called the September 11 attacks "Plan Pearl Harbor," referring to the false flag conspiracy theory surrounding the attack on Pearl Harbor.
- Cox is a fan of the Japanese Godzilla films and appeared in a 1998 BBC documentary highlighting the series. He also narrated the documentary Bringing Godzilla Down to Size: The Art of Japanese Special Effects (2008) and wrote the Godzilla in Time comics for Dark Horse. He tried to direct an American Godzilla film at one point, but unsuccessfully submitted his outline to TriStar Pictures.
- An avid Spaghetti Western fan and proponent of the form, he wrote a book on the history of the genre called '10,000 Ways to Die: A Director's Take on the Spaghetti Western'.
- He was removed from directing Fear and Loathing in Las Vegas (1998) due to alienating everyone on the film.
- Considers Los valientes andan solos (1962) the greatest and most tragic western movie ever made.
- Teaching production and screenwriting at the University of Colorado, Boulder. (julio de 2012)
- He was originally set to direct Fear and Loathing in Las Vegas (1998) but was replaced by Terry Gilliam due to creative differences with Hunter S. Thompson.
- Cox has cited Luis Buñuel, Akira Kurosawa, Sergio Leone, Sergio Corbucci, Sam Peckinpah and John Ford as influences.
- Left Oxford's law school to study film at Bristol University and UCLA.
- His planed version of Fear and Loathing in Las Vegas (1998) had 4 Jimi Hendrix songs in it but Jimi's family wouldn't allow any of Jimi's songs or music to be used in any films with drug connections.
- He wrote the original screenplay for Fear and Loathing in Las Vegas (1998) in Las Vegas but it was completely rewritten a number of times and ended up bearing no resemblance to the original; Alex still got screen credit, due to the American Screen Writers Guild, along with Terry Gilliam, Tony Grisoni and Tod Davies.
- Retrospective at the 1st edition of the Oldenburg International Film Festival in 1994.
- Retrospective at the 26th Hof International Film Festival in 1992.
- Educated Wirral Grammar School and Oxford.
- Got into films via Film School at Bristol and UCLA.
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