Cox's first published stories appeared in the Lone Hand in 1908 and 1909. In 1918 he won a Bulletin competition for a four-line epitaph on a fallen soldier. Regular contributions to The Passing Show column in the Melbourne Argus led in 1921 to a post on the editorial staff.
His main claim to fame is his novel "Out of the Silence," a classic work of science fiction. Set in rural Australia, it tells the story of a young vigneron who discovers, buried beneath his land, a huge sphere containing the culture and technology of a past civilization. Cox began to write the book about 1916 but had shaped the idea for it earlier—'pacing up and down the St. Kilda sands'. At first he was unable to find a publisher, but in 1919 the Argus printed the story in weekly installments between 19 April and 25 October. It created extraordinary interest: 'No more successful serial story has been published in Australia' claimed the Australasian in 1925, heralding its appearance in Melbourne in book form. That year it was also published in London and, in 1928, in New York. American reviewers placed it alongside the works of Jules Verne and Rider Haggard. A new edition appeared in 1932; in 1934 the Argus published a picture-strip version and 3DB broadcast the story as a 25-part serial. Two more editions were published: one in 1947 with a prologue added, and in 1974 a French translation entitled "La sphére d'or."