Filmography
| Year | Title | Role |
|---|---|---|
| 1977 | The Spy Who Loved Me | HMS Ranger Crewman |
| 1980 | The Long Good Friday | Irish Youth |
| 1983 | Enigma | Bruno |
| 1985 | Not Quite Paradise | Pete |
| 1985 | The Berlin Affair | Heinz von Hollendorf |
| 1987 | Cry Freedom | Ken |
| 1992 | Stalin | Sergey Kirov |
| 1997 | Spice World | Policeman |
| 1998 | Sliding Doors | Paul |
| 1999 | Entrapment | Haas |
| 2001 | Conspiracy | Martin Luther |
| 2001 | High Heels and Low Lifes | Mason |
| 2003 | Johnny English | Prime Minister |
| 2003 | Pirates of the Caribbean: The Curse of the Black Pearl | Joshamee Gibbs |
| 2004 | De-Lovely | Gerald Murphy |
| 2004 | The Phantom of the Opera | Joseph Buquet |
| 2005 | Irish Jam | Lord Hailstock |
| 2006 | Pirates of the Caribbean: Dead Man's Chest | Joshamee Gibbs |
| 2006 | Scoop | Mike Tinsley |
| 2007 | Pirates of the Caribbean: At World's End | Joshamee Gibbs |
| 2008 | Tuesday | Jerry |
| 2008 | Valkyrie | Carl Goerdeler |
| 2011 | Pirates of the Caribbean: On Stranger Tides | Joshamee Gibbs |
| 2012 | The Raven | Maddux |
Notably, along with fellow British actors Ian McNeice and Kenneth Branagh, McNally appeared in two World War II films, Valkyrie and Conspiracy that depict behind-the-scenes activities of high-ranking officials in Nazi Germany.
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