In 2002, straight after finishing Cold Feet, Bathurst went straight into filming My Dad's the Prime Minister, a series in which he portrays fictional British prime minister Michael Philips. The first series was broadcast in a Sunday afternoon CBBC slot in 2003. He watched debates in the House of Commons to prepare for the role but did not base his portrayal on Tony Blair. In 2003, he returned to theatre for the first time in four years to play Vershinin in The Three Sisters, opposite Kristin Scott Thomas and Eric Sykes. He had not seen The Three Sisters before starring in it. Director Michael Blakemore advised him to turn this to his advantage, as he would not feel he had to live up to previous portrayals. After its run concluded, a special edition of The Three Sisters was filmed with the same cast for television broadcast on BBC Four. In 2005, the second series of My Dad's the Prime Minister was broadcast, now moved to a Friday night time slot to take advantage of the adult humour. The same year, he starred in the ITV thriller The Stepfather playing Christopher Veazey, a man whose daughter goes missing. Bathurst was pleased that this white-collar worker had an emotional side, in comparison to David Marsden, whom he used as a yardstick when accepting those sorts of roles. Also in 2005, he played Mr Sesseman in an adaptation of Heidi and Dottore Massimo in The Thief Lord.