Arquette, 42, stars in the new indie film Sold, which sheds light on the horrors of the global sex-trafficking trade.
When Arquette explained to his ex how important the subject matter was, she immediately told him, "I'm in," the actor told PEOPLE. "That's the support I get from my family. When it's really important you ask for their love and support, and they came out really big for me tonight."
Arquette's whole family, including Cox, 49, her partner Johnny McDaid, Arquette's about-to-pop pregnant girlfriend, Christina McLarty, and Arquette siblings Patricia, Rosanna and Alexis, all came together before the film for a family dinner to celebrate Patricia's 46th birthday.
Arquette said the film's sensitive subject matter inspired a conversation with his and Cox's 9-year-old daughter Coco.
"She's too young to see the film, even though it is done very tastefully," said Arquette, "but it opened up a discussion for what this film's about and why she couldn't see it. She's getting to an age where she's becoming a young woman and she needs to be aware of creepers."
On a much lighter note, Arquette said Coco can't wait to meet the baby boy McLarty is about to deliver. "She’s really excited," he shared with PEOPLE. "It's an amazing experience and she's been such a trooper about it."