Esper has appeared on Broadway in Sting's The Last Ship, A Man for All Seasons, Green Day's American Idiot and The Lyons. He also starred in the Off-Broadway premieres of Leslye Headland's Assistance, Nicky Silver's The Lyons, and Tony Kushner's The Intelligent Homosexual's Guide to Capitalism and Socialism with a Key to the Scriptures. His voice is included on American Idiot: The Original Broadway Cast Recording as well as the cast album for Lazarus.

After a break from stage work, he returned to New York theater in February 2014 with David Grimm's new play Tales from Red Vienna off-Broadway, opposite Nina Arianda. He followed that by starring in Sting's new musical The Last Ship. The Last Ship began previews on Broadway in September 2014 and ran through January 24, 2015. Esper also appeared in David Bowie and Enda Walsh's new musical Lazarus at New York Theatre Workshop. He was nominated for a 2016 Outer Critics Circle Award for his performance in Lazarus. Esper has also appeared in Tennessee Williams' The Glass Menagerie at the Edinburgh International Festival in 2016 and again at the Duke of York's Theatre in London, which ran until April 29, 2017.

Additional stage credits include Crazy Mary, for which he won the Clarence Derwent Award, Big Bill, subUrbia, Manic Flight Reaction, As You Like It, and The Four Of Us.