[7] Before Saturday Night Live, Shannon worked as a hostess at Cravings restaurant on Sunset Boulevard and as a food demo girl at Gelson's super market in Marina Del Rey.

In 1991, she had a brief appearance in the second season of Twin Peaks as "the happy helping hand lady", and in 1993, she appeared with minor roles in three episodes of In Living Color, the first in a fake TV commercial with Shawn Wayans playing Chris Rock, the second in a sketch with Jim Carrey, playing LAPD Sergeant Stacey Koon, and third being a parody of Star Trek.

She appeared in a 1997 episode of Seinfeld titled "The Summer of George", where she played Sam, the co-worker who drove Elaine Benes crazy because she did not swing her arms while walking.

In 1998, she played the role of Emily Sanderson in the film A Night at the Roxbury, featuring Will Ferrell and Chris Kattan who were also cast members of SNL at the time.

In 2013, Shannon joined White again, playing his love interest Eileen in the HBO show Enlightened, for which she was nominated for an Emmy for outstanding guest actress.

In early 2010, Shannon was cast in a recurring role on the Fox television series Glee as Brenda Castle, an astronomy and badminton teacher who has a rivalry with main character Sue Sylvester.

Shannon won the 2017 Film Independent Spirit Award for Best Supporting Actress for her performance in the highly acclaimed drama, Other People.

In 2018, Shannon co-hosted the Rose Parade with Will Ferrell on Amazon Prime Video in character as fictional local television personalities, Tish and Cord.

In 2018, Shannon and Ferrell co-hosted HBO's broadcast of the wedding of Prince Harry and Meghan Markle as their characters Tish and Cord.

[13][14][15][16][17][excessive citations] In 2022, Shannon co-starred in the Showtime comedy television series I Love That for You alongside fellow former Saturday Night Live alum Vanessa Bayer.