Was one of the founding members of the Upright Citizens Brigade comedy troupe.
An alumni of the Second City Improv Company in Chicago.
Throughout 2000 and 2001, McKay made several short films for "Saturday Night Live" (1975). Actors such as Steve Buscemi, Willem Dafoe, Jimmy Fallon, Will Ferrell, Patrick McCartney, Jerry Minor, Tracy Morgan, Chris Parnell, Andy Richter, Horatio Sanz, Molly Shannon and Ben Stiller have appeared in his SNL shorts. In 2004, McKay directed his first full feature film, Anchorman: The Legend of Ron Burgundy (2004), which he co-wrote with Will Ferrell.
Although his work at "Saturday Night Live" (1975) was mainly as a writer and director, he made several appearances on the show, usually as an over-sized, obnoxious audience member who heckles the host or cast members until the stars verbally or physically attack him. McKay had auditioned for "Saturday Night Live" (1975) as an actor, while he was still with the Second City Improv but didn't make the cut as on camera talent. But, he had submitted four scripts to the show which had gotten him hired as a writer.
Brother-in-law of Jeremy Piven. Son-in-law of Byrne Piven and Joyce Hiller Piven.
On the Anchorman commentary, he pretended he was a producer of the movie named Aaron Zimmerman.
He is an Alumni from the Famous Improv Olympic along with actors Vince Vaughn, the late Chris Farley, Ossie Beck, Tina Fey, Amy Poehler and Mike Myers.
His daughter, Pearl, is featured in two short films with Will Ferrell - "The Landlord" and "Good Cop, Baby Cop". The films share the common theme of toddler Pearl ruthlessly bullying Ferrell.
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