He was cast as the lead in Peter Gill's 2002 stage premiere of "The York Realist", and later in the Donmar Warehouse production of the play "Proof", in London, alongside Gwyneth Paltrow, and on the success of this he was cast in Patrick Marber's reworking of August Strindberg's play "After Miss Julie" with Kelly Reilly and Helen Baxendale. From September to November 2004, Coyle played the title role in Michael Grandage's production of Friedrich Schiller's "Don Carlos" which then transferred to the West End from January to April 2005. The cast also included Derek Jacobi, Peter Eyre and Una Stubbs. The V&A theatre archive has a copy of a film of the production which can be privately viewed.