The grandson of noted animators Alexandre Alexeieff and Claire Parker, Rockwell began making short films as a teenager growing up in a suburb of Boston, MA. Eschewing college, he moved to Paris to work with his grandfather and eventually studied filmmaking at the Cinemateque Francais.

In 1979, Rockwell had already amassed a small body of work and received two one-man shows of his short films at the Institute for Contemporary Art in Boston and the Association of Independent Video and Film in NYC. Two years later, he made his feature writing, directing and producing debut with "Lenz" (1981),