In 1996 McCloskey took a position as a Trial Attorney with the newly created International Criminal Tribunal for the Former Yugoslavia. He spent the first four years at the ICTY as the Srebrenica investigation team legal officer, spending vast amounts of time in the field in Bosnia and throughout Europe investigating the murder of 8000 Muslim men from Srebrenica. Over the following 17 years McCloskey led or was involved in six Srebrenica trails, ending with the conviction of General Ratko Mladić in November 2017.
With the closing of the ICTY McCloskey has taken various consultant positions in the area of international criminal law.