- Knew that he wanted to act since he was 10.
- Became friends with Leonardo DiCaprio on the set of Gangs of New York, and Dicaprio recommended Graham to director Michael Mann for his role in Public Enemies.
- Sent Mann an audition tape made by his wife on her handheld video camera.
- Found it difficult at first to play a racist in 2007's This Is England because of his mixed-race heritage. (His grandfather is Jamaican.)
- Honed his Brooklyn accent for Boardwalk Empire with Brooklynite Charlie, a gaffer on the set of the series.