He was born the youngest of 10 children. His parents divorced when he was young. He studied at Leeds University in northern England. In 1976 he took second prize at ATV Asian Music Contest[?]. He left the music business at the peak of his career after he had reached superstar status in Hong Kong. He returned to music only after a long hiatus. His fans passionately called him Gor-gor (哥哥, "elder brother" in Cantonese), started by Joey Wong[?] in A Chinese Ghost Story.
Cheung was one of few Hong Kong actors who dared to take on openly gay roles. He was well known for his movie, Farewell, My Concubine (1993). In it, he portrayed a opera singer who fell in love with his fellow performer. Farewell, My Concubine shared the Palme d'Or with The Piano in 1993 in the Cannes Film Festival. It was also nominated for an Oscar for Best Foreign Language Film. He also played a role in the movies Days of Being Wild[?] (1991) and Happy Together, (1997) directed by Wong Kar-wai.
His successful albums include The Wind Blows On (1981).
He committed suicide in Hong Kong on April 1, 2003 by jumping from the 24th floor of the Mandarin Oriental Hotel[?]. He was 46 years old. He left a note saying he had been suffering from emotional problems.
Despite the scare of SARS, many of Cheung's fans from around the world flew to Hong Kong to attend his memorial service on April 5, 2003. Cheung's family urged the tabloids to let Cheung rest in peace. During Cheung's twenty six years career, the tabloids had reported numerous rumors about Cheung's sexual orientation and his relationship with Mr. Tong and Kenneth, which were later to be his life partner for 20 years. This suggests that he indeed was gay and he finally confronted these rumors in 1995 as well as his recent film roles as gay characters, shortly after a tabloid caught a snapshot of him and Mr. Tong holding hands together. Those non-stop rumors, combined with what he believed was a sagging career had troubled Cheung for years and often caused him depression. It is unknown if the tabloids or what he perceived as a sagging film and music career were the cause of the emotional problems mentioned in his suicide note.