In 1986, Pennington and director Michael Bogdanov together founded the English Shakespeare Company. As joint artistic director, he starred in the company's inaugural productions of "The Henrys" and, in 1987, the seven-play history cycle of The Wars of the Roses, which toured worldwide and was televised. Pennington played such parts as Richard II, Prince Hal/Henry V and Jack Cade (Olivier Award Nomination). In subsequent seasons with the ESC, he played Leontes in The Winter's Tale and the title roles in Macbeth and Coriolanus (Olivier Award Nomination) and directed Twelfth Night, which he then also directed for the Haiyuza Theatre Company in Tokyo and for the Chicago Shakespeare Theatre.