McKay originally auditioned for Saturday Night Live to be an onscreen performer, but did not make the cut. However, the scripts he submitted to the long-running sketch show earned him a job as writer from 1995 to 2001, including three seasons as head writer. He also directed a number of short films for the show, including the original SNL Digital Shorts. McKay encouraged former Second City castmate Tina Fey to submit some of her scripts to Saturday Night Live, and she later succeeded him as head writer on the show. Though McKay was never an actual SNL castmember, he did make several oncamera appearances over the years and had a recurring role as an obnoxious audience member named "Keith" who would often shout insults at the celebrity hosts during their opening monologue.
After leaving Saturday Night Live, he teamed with comedian Will Ferrell to write the feature films Anchorman (2004), Talladega Nights (2006), and Step Brothers (2008).
Since May 2005, he has been a contributing blogger at The Huffington Post.
In April 2007, he and Ferrell launched the user-submitted comedy video site Funny or Die. A video on the site, titled "The Landlord" features both him and his young daughter, Pearl. Pearl also starred in a second video titled Good Cop, Baby Cop.
McKay and Ferrell co-produced the HBO series Eastbound & Down.
He directed and co-wrote with Ferrell the Broadway show, You're Welcome America, A Final Night with George W. Bush.
McKay directed and co-wrote the 2010 action-comedy The Other Guys, starring Ferrell and Mark Wahlberg. He is scheduled to co-star in the horror-comedy film Hansel and Gretel: Witch Hunters.
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