Between 2013 and 2016, Sheen starred in and produced Showtime's Masters of Sex. He and Lizzy Caplan portrayed the 1960s human sexuality pioneers Masters and Johnson; the series chronicled "their unusual lives, romance and pop culture trajectory, which saw them go from a Midwestern teaching hospital to the cover of Time magazine and Johnny Carson's couch". David Sims of The Atlantic described Sheen's portrayal of Masters as "an intensely honest and unsympathetic one" while Sonia Saraiya of The A.V. Club said Sheen played the role "so seamlessly it's hard to remember that there's a British actor there who has played flamboyant news personalities and prime ministers." Sean T. Collins of The Observer described Masters as "a singularly unappealing figure": "It's not that Michael Sheen is bad in the role. On the contrary! Sheen's skill in playing Masters as an asshole who oscillates between headache-inducing self-repression and volcanic rage renders him unpleasant to spend more than two minutes with at a time." Tim Goodman of The Hollywood Reporter remarked: "Masters has never been very likable. In fact, it's a testament to Sheen's performance— and Caplan's nuanced Johnson offsetting Masters—that anyone still cares what happens to Masters on a personal level." He received a Golden Globe nomination for his performance in late 2013.
In 2016, Sheen had supporting roles in the dramas Nocturnal Animals and Norman: The Moderate Rise and Tragic Fall of a New York Fixer, and the science fiction romance Passengers. He also provided a voice for Nivens McTwisp, the White Rabbit, in the fantasy adventure Alice Through the Looking Glass. In 2017, he had supporting roles in the dramatic comedies Brad's Status and Home Again.
In 2018, Sheen was cast as unconventional lawyer Roland Blum in season 3 of television series The Good Fight.
In May 2019 Sheen starred alongside David Tennant in Good Omens, based on the novel of the same name written by Terry Pratchett and Neil Gaiman and was cast as Chris Tarrant in the TV adaptation of James Graham's stage play Quiz. In September 2019, Sheen began playing the role of Martin Whitly in the American television series Prodigal Son on Fox.
In April 2020, Quiz was shown on ITV. On 14 April, when the channel broadcast the second instalment, the continuity announcer introduced him as "Martin Sheen", a different actor. Sheen reacted to this by changing his Twitter handle to "Martin Sheen".
In June 2020, Sheen starred alongside David Tennant again in a six-part television lockdown comedy entitled Staged, which was made using video-conferencing software. A second eight-episode season started airing in January 2021.
Sheen is the honorary President of Wales Council for Voluntary Action and plays an important part in the public work of the lead national body for the voluntary sector in Wales. Accepting the role he explained "I plan to use my role to actively challenge and support WCVA in their impact and role in supporting the community and keeping us focused on what matters locally as well as the need for national leadership". He is also an ambassador for TREAT Trust Wales, and is the Welsh ambassador of Into Film, a charity which offers after-school film clubs to state primary and secondary schools in an effort to improve literacy levels. He is also an ambassador of the environmental charity Keep Wales Tidy. He is a patron of British charities including Scene & Heard, NSPCC's Child's Voice Appeal, Healing the Wounds, The Relationships Centre and WGCADA. He has taken part in a number of charity football matches, most notably captaining the winning Soccer Aid 2010 team at Wembley Stadium, as well as appearing in the 2012 and 2014 matches. He is a patron of the British Independent Film Awards, an ambassador for the Dylan Thomas Prize and vice-president of Port Talbot Town FC. In October 2018, Sheen sponsored a women's football team in Wales. The team had sought sponsorship from celebrities who were from the region.
In 2017 Sheen founded the End High Cost Credit Alliance working to promote more affordable ways to borrow money. That same year Sheen became a Patron of Social Enterprise UK, a charity which supports social projects which benefit local, environmental and co-operative causes.
In October 2018 Sheen and Natasha Kaplinsky became vice-presidents (an ambassadorial role) of the Royal Society for Public Health (RSPH).
Sheen was in a relationship with English actress Kate Beckinsale from 1995 until 2003. They met when cast in a touring production of The Seagull in early 1995, and began living together shortly afterwards. Their daughter, Lily, was born in 1999 in London. Their relationship ended in January 2003, soon after the couple moved to Los Angeles. Beckinsale had persuaded director Len Wiseman to cast Sheen in Underworld; but while on set, she and Wiseman fell in love, and subsequently married in 2004.
Sheen had a long-distance relationship with English ballet dancer Lorraine Stewart from late 2004 until mid-2010. He dated Canadian actress Rachel McAdams from mid-2010 to early 2013. He dated American comedian Sarah Silverman from early 2014 to early 2018.
Sheen lives in Baglan with his girlfriend, Anna Lundberg. In mid-2019 Sheen announced that he and Lundberg were expecting their first child together. The couple's daughter Lyra (full name Lyra Arwen Ingrid Sheen) was born on 23 September 2019,
Sheen was appointed Officer of the Order of the British Empire (OBE) in the 2009 New Year Honours for his services to drama. In 2020, Sheen revealed, during an online interview with Owen Jones, that he had "handed back" the medal after doing research for a lecture on the relationship between Wales and the British state, saying "I didn't mean any disrespect but I just realised I'd be a hypocrite if I said the things I was going to say in the lecture about the nature of the relationship between Wales and the British state." Individuals who voluntarily renounce an honour continue to legally hold it unless it is annulled by the Queen.
He was awarded the freedom of the borough of Neath Port Talbot, Wales in 2008 for his services in the field of the dramatic arts. He is an Honorary Fellow of the University of Wales, Newport, the Royal Welsh College of Music & Drama, Swansea University, Aberystwyth University and Swansea Metropolitan University, and has been awarded the James Joyce Award by University College Dublin.
In addition to theatre, film and television credits, Sheen has also appeared in many radio productions, particularly in the early years of his career. Notable radio play appearances include Strangers on a Train (1994) opposite Bill Nighy, The Importance of Being Earnest (1995) opposite Judi Dench, Romeo and Juliet (1997) opposite Kate Beckinsale, Troy (1998) and The Pretenders (2004) both opposite Paul Scofield. He has narrated five novels for BBC Radio 4 and Naxos AudioBooks: Crime and Punishment (1994), The Idiot (1995), The Picture of Dorian Gray (1995), A White Merc With Fins (1997), Salmon Fishing in the Yemen (2011) and The Ocean at the End of the Lane (2013).