Born in Asmara, Eritrea, and now a citizen of Italy and the United States, Rosi moved to New York in 1985 after finishing university in Italy.
After graduating from New York University Film School, he traveled throughout India and began work on his first medium-length film, Boatman, which he produced and directed. The film won awards at numerous international film festivals, including Sundance, the Locarno Festival, and the Toronto International Film Festival. In 2008 his first full- length film, Below Sea Level, shot in Slab City, California, won both the Orizzonti and Doc/It prizes at the Venice Film Festival as well as the Grand Prix and Prix des Jeunes at the 2009 Cinéma du Réel, best film at the One World Film Festival in Prague, the Vittorio de Seta Prize for best documentary at the 2009 Bari International Film Festival, and it was nominated for best documentary at the 2009 European Film Awards. In 2010 Rosi shot El sicario - Room 164, a film-interview with a former assassin for a Mexican drug cartel, which won the Venice Film Festival’s Fipresci Prize and the Doc/It award for best documentary of the year. It then won best film at DocLisboa in 2010 and at Doc Aviv in 2011. He has directed various Pubblicità Progresso spots, worked freelance as director of photography on various documentaries, and was guest lecturer at the NYU Film School, at SUPSI in Lugano, and HEAD in Geneva.
His documentary on the migrant crisis, 'Fire at Sea' (2016) won the Golden Bear at Berlin Film festival.