Since 2017, Rudolph has voiced various characters for the animated sitcom Big Mouth, including Connie the Hormone Monstress, which won her four Primetime Emmy Awards.

For her portrayal of politician Kamala Harris on SNL, she won the Primetime Emmy Award for Outstanding Guest Actress in a Comedy Series.

Rudolph received three Primetime Emmy Award nominations for playing a judge in the comedy series The Good Place (2018–2020).

Her paternal grandfather was Sidney Rudolph, a philanthropist who once owned all of the Wendy's and Rudy's restaurants in Miami-Dade County, Florida.

[6] Her great-grandfather was born in Vilnius, Lithuania, changed his surname from "Rudashevsky" to "Rudolph", and was one of the founding members of Congregation Beth Shalom, a Conservative Jewish synagogue in the Squirrel Hill neighborhood of Pittsburgh, Pennsylvania.

[8] On an episode of PBS's Finding Your Roots, Rudolph discovered that her maternal great-great-great-grandfather was James Grigsby, who was born into slavery in Lincoln County, Kentucky.

[11] In 1990, Rudolph graduated from Crossroads School in Santa Monica, California, where she befriended schoolmates Gwyneth Paltrow and Jack Black.

[14] Rudolph was in the improv troupe the Groundlings, where she met future Saturday Night Live cast member Will Forte.

[18] She has appeared in many other television shows, including the CBS medical drama series City of Angels and Chicago Hope.

Earlier, she had costarred with Luke Wilson in the 2005 Mike Judge sci-fi comedy Idiocracy, although that film was shelved until September 2006 and then only given a limited release.

In 2011, she appeared in Bridesmaids with Saturday Night Live colleague Kristen Wiig, and in 2013 she played a supporting role in The Way, Way Back as the girlfriend of Sam Rockwell's character.

[23] Rudolph has a production company called Animal Pictures with Natasha Lyonne which has produced Russian Doll, Poker Face, Loot, and The Second Best Hospital in the Galaxy.