Oldham debuted as a musician in 1992 with the Drag City single Ohio River Boat Song, which he released as Palace Songs; his debut album, There Is No-One What Will Take Care of You, arrived the following year as a Palace Brothers offering. By 1995's Viva Last Blues he was beginning to work as Palace Music, a name that stuck until 1997's Joya, which Oldham released under his own name. However, with 1998's Black Dissimulation and the following year's I See a Darkness, the Bonnie "Prince" Billy name seemed to stick, for the most part: aside from the soundtrack Ode Music and Guarapero: Lost Blues 2, the majority of Oldham's work from then on was credited to Bonnie "Prince" Billy. Ease Down the Road arrived in early 2001, featuring collaborators David Pajo, Catherine Irwin, Mike Fellows, and Harmony Korine. Master and Everyone appeared two years later. In 2004 came the release of a rather surprising project for Oldham -- Bonnie "Prince" Billy Sings Greatest Palace Music, in which his usual collaborators were joined by a band of Nashville session musicians for a set of polished re-recordings of songs from his back catalog.

Oldham's next project found him collaborating with guitarist Matt Sweeney (who had previously worked with Chavez and Zwan, as well as playing banjo on Ease Down the Road) for the evocative January 2005 release Superwolf. Reflective, bittersweet, and achingly melodic, it was praised as one of the year's first truly strong albums. Oldham and Sweeney followed up Superwolf that July with an extended single, I Gave You, featuring two non-album tracks. Sweeney was also on hand for the live album Summer in the Southeast, issued by Sea Note in November 2005. Oldham and Sweeney were joined by a full band for the shows. The singer released another solo album, The Letting Go, in September 2006 and followed it up with an EP of cover songs titled Ask Forgiveness in November 2007.

Oldham was especially prolific in 2008, beginning the year with the live album Wilding in the West, an Australia-only release recorded in California during his 2007 tour. That spring, he returned with Lie Down in the Light, one of Oldham's more polished efforts, which Oldham followed that fall with Is It the Sea?, another live album recorded on his 2006 U.K. tour and released by Domino. Just a few months later in spring 2009, Beware, an ambitious effort featuring contributions from Rob Mazurek, Azita Youseffi, and the Mekons' Jon Langford, arrived, and yet another live effort, Funtown Comedown, appeared before the year was up. His next project involved the Cairo Gang, loosely a solo project for guitarist Emmett Kelly (who had often played with Oldham). The co-billing produced a record in early 2010 entitled The Wonder Show of the World, followed by the similarly themed Wolfroy Goes to Town in 2011. Marble Downs, a collaboration with the likeminded Trembling Bells, appeared in 2012, as did Now Here's My Plan, a six song EP under the Bonnie "Prince" Billy moniker including reworkings of older tunes. The EP served as a companion piece for Oldham's book Will Oldham on Bonnie "Prince" Billy, a collection of conversations between Oldham and experimental sound artist Alan Licht. In 2013 Oldham reteamed with Letting Go guest vocalist and Faun Fables front woman Dawn McCarthy for What the Brothers Sang, a collection of Everly Brothers covers.