He was drafted in the third round, 72nd overall, by the Calgary Flames in the 1995 National Hockey League Entry Draft. After playing four seasons in the Western Hockey League, Thompson made his professional debut with the Flames" American Hockey League affiliate, the Saint John Flames. He appeared in 15 National Hockey League games with the Flames during the 1997-1998 and 1998-1999 seasons.
He made a brief return to the National Hockey League with the Florida Panthers, appearing in ten games during the 2000-2001 and 2001-2002 seasons.
In only 25 National Hockey League games, Thompson racked up 117 penalty minutes. Most of his professional career has been spent with various AHL teams, tallying numerous penalty minutes.
Most recently, he played in 55 games for the Peoria Rivermen during the 2006-2007 season, recording 127 penalty minutes. Following his professional career, Rocky Thompson turned to coaching, becoming the assistant coach for the expansion Edmonton Oil Kings of the Western Hockey League in 2007.
He would later become an assistant coach for the Oklahoma City Barons.
On July 16, 2014, Thompson was promoted to assistant coach of the Edmonton Oilers. On July 3, 2015, Thompson was hired as head coach of the Windsor Spitfires.