For Depp's next film project, he tried his hand at sci-fi horror with The Astronaut's Wife in 1999. The same year, he teamed up with Burton once again on Sleepy Hollow, starring as a prim, driven Ichabod Crane. He appeared the following year in the small but popular romantic drama Chocolat, followed by a big-budget role as real-life cocaine kingpin George Jung in Blow in 2001. Depp's next film was the terror drama From Hell in 2001 and Robert Rodriguez's Once Upon a Time in Mexico in 2002. In April of that year, Paradis gave birth to the couple's second child, Jack.

In 2004, Depp earned an Academy Award nomination for his starring role as Captain Jack Sparrow in the family adventure Pirates of the Caribbean. The film was a box office smash, and led to the creation of a Pirates franchise. At the end of that year, Depp also turned in a critically acclaimed performance in Finding Neverland, in which he starred as Peter Pan creator J.M. Barrie. The film earned him more than 10 award nominations, including both Academy and Golden Globe nods.

In 2006, Depp returned as Captain Jack Sparrow for the sequel Pirates of the Caribbean: Dead Man's Chest, which broke a box office record in reaching the highest weekend tally ever. The third installment fared well too. Pirates of the Caribbean: At World's End (2007) was released on Memorial Day weekend, bringing in $138.8 million.

Saying goodbye to Captain Jack, Depp took on one of theater's most notorious characters in Sweeney Todd: The Demon Barber of Fleet Street, also in 2007. Directed by Tim Burton and co-starring Helena Bonham Carter, the dark and gory musical tells the tale of a barber kills some of his customers who then turned into pies made by his downstairs neighbor. Depp netted a Golden Globe Award for his work on the film.

In 2009, two Depp films The Imaginarium of Doctor Parnassus and Public Enemies premiered with mixed results. He returned to box office success with the 2010 film adaptation of the Lewis Carroll classic, Alice in Wonderland. For the project, Depp again teamed up with Tim Burton to take on the character of the Mad Hatter. The film, starring Mia Wasikowska as Alice, brought in more than $116 million in its opening weekend.

Once again roving on the high seas, Depp reprised his role of Jack Sparrow in the latest installment of the Pirates of the Caribbean film series in 2011. He returned to independent film that same year with The Rum Diary, based on the book by Hunter S. Thompson.

Depp also starred in the Tim Burton comedy Dark Shadows (2012). In the film, he plays Barnabas Collins, a vampire who escapes imprisonment and returns to his family home. There, Collins tries to help his descendents played by Michelle Pfeiffer, Chloe Grace Moretz and Jonny Lee Miller. Depp was a longtime fan of the film's source material the late 1960s gothic soap opera Dark Shadows and encouraged friend Burton to bring it to the big screen.

Unfortunately, Depp's next big budget endeavor didn't fare nearly as well as his earlier films. In 2013, the A-list actor teamed up with Pirates producer Jerry Bruckheimer once again in the Disney film The Lone Ranger. The film costing more than $215 million to produce with big names like Pirates director Gore Verbinski and The Social Network (2010) star Armie Hammer at the helm performed horribly at the box office and received lackluster reviews. The film debuted in second place at the box office during its opening weekend, but only grossed $48.9 million. Disney executives expected a potential $190 million loss because of the film.

Depp took on the role of notorious crime boss Whitey Bulger in the 2015 biopic Black Mass. James Bulger is a fascinating creature and we all want to know what drove him I think," Depp said about the role in an interview with IGN. "As much as I want to talk to James Bulger and sit down with him and understand him, I also want to sit down with the victims families and know that side as well so that is thrown in with the performance. The people of Boston are going to dictate my performance. James Bulger, whatever he presents to me, is going to dictate that performance as well. I do not think it's as easy as good versus evil and I hope to show that in the film and I hope to do everybody justice.

In 2016, Depp reprised his role as the Mad Hatter in Through The Looking Glass, Tim Burton's latest take on Lewis Carroll's sequel to Alice's Adventures In Wonderland.