The son of a yacht builder, Harvey originally planned for a career in naval architecture but decided instead to study theatre with the actor John Ryder. He made his first public appearance in London in 1881. A year later he joined the Lyceum Theatre company of Sir Henry Irving, remaining there for 14 years and traveling four times to the United States.

In 1899 he achieved his greatest success in The Only Way (based on Charles Dickens' A Tale of Two Cities), a play suggested, planned, and named by his wife, Angelita Helena de Silva, but written by two Irish clergymen, Freeman Wills and Frederick Langbridge. Harvey took the part of Sydney Carton, and his wife played Mimi. In subsequent years he produced Hamlet (1904), Richard III (1910), and The Taming of the Shrew (1913). One of his finest performances was in 1912 as the protagonist in Max Reinhardt's London production of Oedipus Rex. One of the early supporters of a scheme for establishment of a national theatre, he was knighted in 1921. His Autobiography appeared in 1933.