He moved to Houston, Texas after college to do an apprentice actor program for a season at the Alley Theatre, but did not get asked back to join the company.

[4] While performing as a company player with the Groundlings for a number of years, Parnell began doing commercials and getting guest roles on various sitcoms, such as Seinfeld and Murphy Brown.

On the DVD commentary for the West Coast version of the 30 Rock episode "Live Show", Tina Fey and Beth McCarthy Miller noted that Parnell was nicknamed "The Ice Man" while working at SNL, because of his apparent immunity to breaking character, citing the "More Cowbell" sketch in which he was the only actor not to break.

He had been with SNL for eight seasons; at the time only four people (Darrell Hammond, Tim Meadows, Kevin Nealon, and Al Franken) had been cast members longer.

He has since made uncredited cameo appearances on the show, including parodying newscasters Tom Brokaw, Jim Lehrer, and Bob Schieffer.

Parnell and his former SNL castmate Horatio Sanz starred together in Big Lake, a 2010 sitcom on Comedy Central from executive producers Will Ferrell and Adam McKay.

[12] Since 2013, Parnell has voiced Jerry Smith (and his alternate reality variants) on the Adult Swim series Rick and Morty.