McKay began his career as a head writer for the NBC sketch comedy show Saturday Night Live (SNL) from 1995 to 2001.

After leaving SNL, McKay co-wrote with comedian Will Ferrell on his comedy films Anchorman: The Legend of Ron Burgundy (2004), Talladega Nights: The Ballad of Ricky Bobby (2006), and The Other Guys (2010).

For each film, McKay received an Academy Award for Best Adapted Screenplay nominations, winning for The Big Short.

McKay was born in Denver, Colorado, and raised in Worcester, Massachusetts[4] and later Malvern, Pennsylvania[5] by his mother, Sarah, a waitress, and his father, a musician.

[10] McKay encouraged his Second City friend Tina Fey to submit some of her scripts to Saturday Night Live, and she later succeeded him as head writer.

[12] Shortly after leaving SNL, McKay teamed up with comedian Will Ferrell to form production company Gary Sanchez Productions and write the comedy films Anchorman: The Legend of Ron Burgundy (2004), Talladega Nights: The Ballad of Ricky Bobby (2006), Step Brothers (2008), and The Other Guys (2010), all of which he also directed, produced and made cameo appearances in as an actor.

[14][15] McKay also worked with Reed, Paul Rudd, Gabriel Ferrari & Andrew Barrer on Ant-Man and the Wasp to flesh out the story.

In addition to Eastbound & Down, McKay has produced the TV series Big Lake and Succession, whose pilot he directed, and the miniseries The Spoils of Babylon, and The Chris Gethard Show.

[18] It was later revealed the reason for the split was because McKay cast John C. Reilly as Jerry Buss on the show Winning Time: The Rise of the Lakers Dynasty, a role that Ferrell had coveted, without informing him.

Hyperobject Industries' first television project was an HBO pilot based on Jeff Pearlman's non-fiction book Showtime: Magic, Kareem, Riley and the Los Angeles Lakers Dynasty of the 1980s.

[29] In 2020, McKay began working on the satirical black comedy Don't Look Up, about two low level scientists trying to convince the world that a catastrophic comet is coming.

Jennifer Lawrence, Leonardo DiCaprio, Jonah Hill, Rob Morgan, Tyler Perry, Meryl Streep, and Cate Blanchett star in the film.

A video on the site, titled The Landlord,[40] features both him and his young daughter, Pearl, whom Ferrell and his wife bait to say curse words.

From November 2015 until October 2016, McKay hosted the science/comedy podcast Surprisingly Awesome with Adam Davidson, produced by Gimlet Media.

In February 2022, he appeared as a guest on Smartless, a comedic podcast hosted by Jason Bateman, Will Arnett and Sean Hayes.

"I regret not giving more blame to the Democrats, who went along with the war in Iraq...I made mistakes, read the reviews and went, 'Yes, fair,'" he told Variety in March 2022.

[56] In October 2023, McKay signed the Artists4Ceasefire open letter to US president Joe Biden, calling for a ceasefire of the Israeli bombardment of Gaza.

[60] In 2023, McKay founded Yellow Dot Studios to raise awareness and mobilize action on the climate emergency.

McKay credits his awareness of the issue from researching the film with his quick response that got him to the hospital before he incurred any permanent damage.

[78] During an interview on the 347th episode of The Empire Film Podcast, McKay said: "Either Christian Bale or Dick Cheney just saved my life.