He played Thomas Cromwell in Wolf Hall (2015), BBC Two's adaptation of Hilary Mantel's historical novels Wolf Hall and Bring Up the Bodies. For his performance, he was nominated for the Primetime Emmy Award for Outstanding Lead Actor in a Miniseries or a Movie. Rylance was featured as the castaway on the BBC radio programme Desert Island Discs on 15 February 2015.
Rylance co-starred in the biographical drama Bridge of Spies, released in October 2015, directed by Steven Spielberg and starring Tom Hanks, Amy Ryan, and Alan Alda. The film is about the 1960 U-2 Incident and the arrest and conviction of Soviet spy Rudolf Abel and the exchange of Abel for U-2 pilot Gary Powers. Rylance plays Abel and has received unanimous universal acclaim for his performance with many critics claiming it as the best performance of 2015. The St. Louis Post-Dispatch quoted, "As the deeply principled Donovan, Hanks deftly balances earnestness and humor. And Rylance’s spirited performance is almost certain to yield an Oscar nomination." David Edelstein from New York cited 'It's Rylance who keeps Bridge of Spies standing. He gives a teeny, witty, fabulously non-emotive performance, every line musical and slightly ironic – the irony being his forthright refusal to deceive in a world founded on lies." Rylance won the Academy Award, BAFTA Award, and New York Film Critics Circle Award in the Best Supporting Actor categories, as well as receiving Golden Globe Award and Screen Actors Guild Award nominations, among other wins and nominations.
Rylance played the title role in Spielberg's The BFG, a film adaptation of the children's book by Roald Dahl. Filming took place in 2015, and the film was released in July 2016. In 2016 Rylance co-wrote and starred in the new comedy play Nice Fish at St. Ann's Warehouse, New York. The production subsequently transferred to the Harold Pinter Theatre in London's West End. Rylance had a major role in Christopher Nolan's 2017 action-thriller Dunkirk, based on the British military evacuation of the French city of Dunkirk in 1940 during World War II. The film co-starred Tom Hardy, Kenneth Branagh, Cillian Murphy and Harry Styles.
Rylance became patron of the London Bubble Speech Bubbles project in 2015. "I found a voice through making theatre and am proud to be the patron of Speech Bubbles, which helps hundreds of children to do the same."