Founded by Angie McMahon and Kevin Mullaney, Under the Gun is a sketch and improvisational comedy theater which opened in Chicago's Lake View community in 2014.

Kevin Mullaney, former artistic director at the Upright Citizens Brigade Theatre in New York, and Angie McMahon, founding director of Chemically Imbalanced Comedy and a faculty member of The Second City,[4] developed a partnership through a series Skype experiments they used to help set goals.

Initiating as an itinerant company, they created shows and produced them at various Chicago venues such as the Apollo Theater and The Second City.

Chicago Reader critic, Justin Hayford, commented: "Under the Gun's 27-show schedule is no big deal (Annoyance and iO top that handily, but then, they've got multiple stages).

These comics have a knack for identifying common yet resonant cultural experiences—family reunions, horror movies, drinking games, porn—ripe for improvisation.

"[7] Cusp Magazine noted "[the theater] hosts an ensemble of actors with expressive, out of the ordinary ideas, bringing a unique improv style to Chicago called 'party prov.'

The directors and ensemble members had created several original written shows at the theater's inception: The Last Mall Santa,[10] Halloween Hell House,[2] and The Zombie Diaries.

Wancket went on to write, "With iO moving south, Under The Gun is positioning itself to be the new force for comedy on the North Side.

A Newcity Stage critic wrote: "I admit that going into this show at Under The Gun Theater, I was less than optimistic about the possibilities of pornography without sex... the Under The Gun Ensemble has been following "Life on Top", an actual adult script, skipping over the sex to focus on the 'rich character and plot development in porn', as host Ben Bowman dryly puts it.