And the actor is proving the point with a starring role in the upcoming FX series Fargo, inspired by the 1996 Joel and Ethan Coen movie.
Thornton told a Television Critics Association meeting that while Hollywood studios churn out action movies, broad comedies and "movies where apparently vampires are all models", TV offers the kind of insightful work once common in films.
He says that is why peers like Kevin Costner, Dennis Quaid and Kevin Bacon have turned to television.
"The entertainment business can pretend all they want, but the movie world has changed drastically, particularly in the last five or six years," said Thornton, who won a best-screenplay Oscar for the 1996 film Sling Blade.
"If you want to be an actor, get on a really good series in television because there's where it's at."
Fargo, which also stars Martin Freeman of Sherlock and the Hobbit films, debuts in April on FX.