Penzone joined the Phoenix Police Department in 1988, and served for 21 years. For seven years, Penzone ran the Phoenix Police Department's "Silent Witness" program, which encouraged witnesses to report crimes. Penzone ran the program during the high-profile "Baseline Killer" and "Serial Shooter" investigations. Penzone created a Spanish-language version of the program. After retiring from the police force, Penzone joined the non-profit group Childhelp as vice president. The group focuses on preventing child abuse and neglect.
Penzone, a Democrat, made his first bid for elected office in an unsuccessful campaign for Maricopa County sheriff in 2012 against incumbent Republican Joe Arpaio. In that election, Arpaio received just over 50% of the vote to Penzone's 45%, with independent candidate Mike Stauffer running a distant third. In 2016, Penzone again ran against Arpaio, who at that point had been in office for 24 years. In the Democratic primary election, Penzone initially faced former Arizona Department of Corrections supervisor Joe Rodriguez, but Rodriguez withdrew from the race in April 2016 and threw his support behind Penzone "to defeat Sheriff Arpaio in November for the good of Maricopa County citizens." In the November 2016 general election, Penzone defeated Arpaio by 665,478 votes to Arpaio's 531,674 votes. During his campaign, Penzone pledged "to refocus the agency on law enforcement and rein in taxpayer dollars previously spent on civil-rights lawsuits." Arpaio, a controversial figure, had been criminally charged with contempt of court for disregarding a court order to halt the racial profiling of Latinos. Penzone called Arpaio's conduct leading to the contempt charge "unforgivable." During the campaign—which the Arizona Republic described as "an intense, nasty race"—Penzone sued Arpaio for defamation over an attack ad that Arpaio ran. Penzone pledged to run the sheriff's office in a nonpartisan manner. To that end, he promised to reverse several of Arpaio's "unorthodox and divisive" practices, which Penzone considers to be publicity stunts, such as forcing jail inmates to wear pink underwear and "investigating" President Obama's birth certificate. Penzone also said that he would scale back the use of inmate chain gangs and review "Tent City". After his election, as sheriff-elect, Penzone chose a new leadership team within the sheriff's office. Penzone took office on January 1, 2017. In April 2017, Penzone announced that per a recommendation from an advisory committee, he was shutting down Tent City. He believed the facility was a "circus" that did not effectively deter crime. Tent City operations were phased out over six months; it closed with almost no fanfare in October of 2017.