He was a writer on Saturday Night Live from 1985 to 1986, and returned as a cast member from 1995 to 1997; and from 2003 to 2006, he co-created, wrote and starred in the series Slings & Arrows.

Eventually, McKinney and McCulloch moved to Toronto, and met Dave Foley and Kevin McDonald, who were in the process of forming a comedy troupe.

[4][5][6] The troupe appeared in their own TV series, The Kids in the Hall, which was co-produced by Lorne Michaels and ran from 1988 to 1995. Notable characters on the show played by McKinney include the Chicken Lady, Darill (pronounced da-RILL), bluesman Mississippi Gary, and Mr. Tyzik the Headcrusher, an embittered Eastern European who pretended to crush the heads of passers-by between his thumb and forefinger.

[7][8] During his time on SNL, McKinney had six recurring characters (some of note include Ian Daglers from "Scottish Soccer Hooligan Weekly", Melanie, a Catholic schoolgirl, and Lucien Callow, a fop often paired with David Koechner's fop character Fagan) and twenty-seven celebrity impersonations (some of note include Mel Gibson, Barney Frank, Al Gore, Paul Shaffer, Mark Russell, Jim Carrey, Lance Ito, Tim Robbins, Steve Forbes, Wolf Blitzer, Bill Gates, and Ellen DeGeneres).

McKinney also starred opposite Isabella Rossellini in Guy Maddin's tragicomedy The Saddest Music in the World.

His theatre appearances include The Ugly Man with One Yellow Rabbit at the Edinburgh Fringe festival and Glasgow.

From 2003 to 2006, he co-created, co-wrote and starred in the TV series Slings & Arrows, about the backstage goings-on in a Canadian Shakespearean theatre company struggling with financial problems as they rehearse and present various productions.

[13] He appeared as a cast member on the CBC comedy Hatching, Matching, and Dispatching and its 2017 follow up A Christmas Fury.

He also wrote one episode of Watts' sitcom Michael, Tuesdays and Thursdays, which aired on CBC Television in fall 2011.

[14] In the summer of 2007, he became the show-runner and executive producer of Less Than Kind, a half hour comedy starring Maury Chaykin.

In 2020, he appeared as a guest on the Studio 60 on the Sunset Strip marathon fundraiser episode of The George Lucas Talk Show In 2022, he joined the other Kids in the Hall for an eight-episode sixth season on Amazon Prime.