Conover's books of narrative nonfiction have typically been explorations of off-beat social worlds. He will often become an active participant in the subculture he is writing about. His first experiment with this melding of anthropological and journalistic method took place in 1980, when he rode freight railroads back and forth across the western United States with some of the last remaining hobos. This experience, initially rendered as an ethnography for an honors thesis, became the basis of his first-person book, Rolling Nowhere: Riding the Rails with America's Hoboes (1984).

A few of those Conover met on the rails were Mexican nationals, and in his next book, Coyotes: A Journey Across Borders with America's Illegal Migrants (1987), he turned his attention to illegal immigrants, describing them as "the true modern-day incarnation of the classic American hobo." Conover spent a year traveling with Mexicans in order to write Coyotes; he lived in a "feeder" valley in the Mexican state of Querétaro, spent time in Arizona, Idaho, California, and Florida, and crossed the border three times. The 1987 book came out in a new edition in 2006 with a new preface and subtitle: "A Journey Across Borders With America's Mexican Migrants."

His next project, which he has stated he undertook in part to see whether the participatory approach could work with wealthier people, describes life in the mining-town-turned-lifestyle-capital of Aspen, Colorado, where Conover worked as a driver for the Mellow Yellow Taxi Company, the Aspen Times, and for a catering company. The result was Whiteout: Lost in Aspen (1991).

His next project was to take a job at Sing Sing prison in New York state, where he worked for nearly a year — without the state's knowledge — as a rookie correction officer. The resulting book, Guarding Sing Sing (2000), was a finalist for the Pulitzer Prize and won the 2000 National Book Critics Circle Award in General Nonfiction, among other honors. For many months, prisoners and their visitors were banned from reading Newjack; now, inmates who receive a copy have to wait up to several months while the state redacts several pages that it considers a threat to security.

His most recent work is The Routes of Man: How Roads Are Changing the World and the Way We Live Today (2010). Conover discussed it in the Paper Cuts blog of the New York Times Book Review

In addition to books, much of Conover's work has been published in magazines. He frequently contributes to The New York Times Magazine, The New Yorker, The Atlantic Monthly, National Geographic Magazine, Travel + Leisure, and others..