His first documentaries, including Today We Are Going to Build a House (1996) and Life, Autumn (1998), won awards at film festivals in Leipzig, Tel Aviv, St. Petersburg, and Vila do Conde, Portugal. In 2000, he began producing documentaries at the Documentary Films Studio in St. Petersburg, including The Train Stop (2000), The Settlement (2001), Portrait (2002), Landscape (2003), and Factory (2004).
Loznitsa's most recent documentary films, BLOCKADE (2005) and REVUE (2008), are compilation historical documentaries that utilize archival footage from Soviet archives, much of it made available to filmmakers for the first time.
BLOCKADE is comprised entirely of silent footage of the Siege of Leningrad during WWII, to which Loznitsa has added an evocative soundtrack of natural sound effects, bringing the footage vividly to life. With BLOCKADE, writes Denise Youngblood in The Russian Review, "Loznitsa has taken a different and imaginative approach to the compilation documentary," calling it "One of the most important Russian movies of the last decade."