In 1999, Peña became the manager of the New Orleans Zephyrs and in 2001 he led them to a first-place finish in the East Division of the Pacific Coast League.
He also led Águilas Cibaeñas of the Dominican Winter Baseball League to two domestic championships in 1998 and 2000, and also led them to the 2001 Caribbean Series title.

Peña was hired by the Kansas City Royals in 2002 to replace Tony Muser (John Mizerock had served as interim manager).
Peña led the 2003 Royals to a seven-game lead in the American League Central Division by mid-season before settling into a third-place finish in with a record of 83–79.
It was the Royals' first season with a winning record since the strike-shortened 1994 season.
Peña was rewarded with the 2003 American League Manager of the Year Award.

Peña's Royals were less successful in 2004, finishing in last place in the Central Division of the American League with 104 losses.
He resigned as manager of the Royals after a loss to the Toronto Blue Jays on May 10, 2005, as the Royals had the worst record in the American League at 8–25.
He was replaced by interim manager Bob Schaefer.

On November 3, 2005, Peña was named first base coach of the New York Yankees.
On October 21, 2007, the Yankees announced that Peña would interview to replace Joe Torre as manager.
However, the Yankees chose to hire former catcher Joe Girardi to manage the team instead.
Peña remained as the Yankees first base coach in 2008, before shifting to the role he played as bench coach from 2009 – 2014.
He assumed the role of Yankees first base coach once more when they hired Joe Espada as the third base coach for the 2015 season and shifted former Yankees third base coach Rob Thomson to the role of bench coach.

Peña was considered a candidate to replace Terry Francona as the manager of the Red Sox in 2011 before the job went to Bobby Valentine.
In 2012, Valentine was fired as Red Sox manager after just one year, and Peña was interviewed to be the Red Sox manager.

In 2013, Peña was named the manager of the Dominican Republic National Baseball Team for the World Baseball Classic.
Armed with a roster that included Jose Reyes, Robinson Canó, Nelson Cruz, Edwin Encarnación, Fernando Rodney, and many others, the Dominican team stormed through the WBC with an 8-0 record, culminating in a championship with a 3-0 victory over Puerto Rico.
They were the first team in WBC history to go undefeated throughout the tournament.

After the 2017 season, the Yankees hired Aaron Boone to replace Girardi as manager, and Pena was replaced by Reggie Willits.
In 1999, Peña became the manager of the New Orleans Zephyrs and in 2001 he led them to a first-place finish in the East Division of the Pacific Coast League. He also led Águilas Cibaeñas of the Dominican Winter Baseball League to two domestic championships in 1998 and 2000, and also led them to the 2001 Caribbean Series title.
Peña was hired by the Kansas City Royals in 2002 to replace Tony Muser (John Mizerock had served as interim manager). Peña led the 2003 Royals to a seven-game lead in the American League Central Division by mid-season before settling into a third-place finish in with a record of 83–79. It was the Royals' first season with a winning record since the strike-shortened 1994 season. Peña was rewarded with the 2003 American League Manager of the Year Award.
Peña's Royals were less successful in 2004, finishing in last place in the Central Division of the American League with 104 losses. He resigned as manager of the Royals after a loss to the Toronto Blue Jays on May 10, 2005, as the Royals had the worst record in the American League at 8–25. He was replaced by interim manager Bob Schaefer.
On November 3, 2005, Peña was named first base coach of the New York Yankees. On October 21, 2007, the Yankees announced that Peña would interview to replace Joe Torre as manager. However, the Yankees chose to hire former catcher Joe Girardi to manage the team instead. Peña remained as the Yankees first base coach in 2008, before shifting to the role he played as bench coach from 2009 – 2014. He assumed the role of Yankees first base coach once more when they hired Joe Espada as the third base coach for the 2015 season and shifted former Yankees third base coach Rob Thomson to the role of bench coach.
Peña was considered a candidate to replace Terry Francona as the manager of the Red Sox in 2011 before the job went to Bobby Valentine. In 2012, Valentine was fired as Red Sox manager after just one year, and Peña was interviewed to be the Red Sox manager.
In 2013, Peña was named the manager of the Dominican Republic National Baseball Team for the World Baseball Classic. Armed with a roster that included Jose Reyes, Robinson Canó, Nelson Cruz, Edwin Encarnación, Fernando Rodney, and many others, the Dominican team stormed through the WBC with an 8-0 record, culminating in a championship with a 3-0 victory over Puerto Rico. They were the first team in WBC history to go undefeated throughout the tournament.
After the 2017 season, the Yankees hired Aaron Boone to replace Girardi as manager, and Pena was replaced by Reggie Willits.
Tony Peña