Cooksey embarked on a career as an industrial engineer, rising through the management of the company Formica International, and finally leading the management buy-out of a subsidiary in 1971.
In 1981, he formed Advent Venture Partners, one of the first venture capital firms in the United Kingdom, which provided financing for technology-based businesses. He remained chairman until September 2006. He was the first chairman of the British Venture Capital Association (1983/4) and chairman of the European Private Equity and Venture Capital Association (2005/6).
In 2003, Cooksey was appointed to chair the Biosciences Industry Growth Taskforce by HM Treasury and the DTI and issued the report "Biosciences 2015" that year.
Cooksey revised and reissued the report in 2009. In 2006, he published the Cooksey Review of UK health research for HM Treasury which led to a new funding structure and approach to medical research in the UK. It also paved the way to new approaches to pharmaceutical licensing.
Sir David Cooksey was a director of the Bank of England from 1994 until 2005, including a period as Chairman of Directors from 2001. He was a Governor of the Wellcome Trust from 1995 to 1999, and was Chairman of the Board of Directors at Diamond Light Source Ltd from its formation in 2002 until September 2008.
In May 1973, Cooksey married Janet Wardell-Yerburgh, known as Poppy, the widow of the Olympic oarsman Hugh Wardell-Yerburgh, who had a daughter from her first marriage.[3] They had a daughter and a son, born in 1974 and 1976, and lived at Brooklands, Swanwick, Hampshire, and Aston House, Lower Mall, Hammersmith.[4] They were divorced in 2003. Cooksey married Mary Ann Lutyens, widow of Richard Lutyens, in January 2011.