He has also been a contributor for Blaze Media and CNN, appearing frequently on Soledad O'Brien's morning program Starting Point.

[6][7] Attending Pepperdine University, Cain played one year on the water polo team and graduated cum laude with a bachelor's degree in telecommunications in 1997.

[8][2] On the Pepperdine water polo team, Cain was a walk-on who scored his only goal in 1996,[6] in a game against UC Santa Barbara.

[8] Cain said of the experience in 2010, "Pepperdine water polo was extremely accommodating in its development of a walk-on such as me, and that's something positively unique about this program.

While in Texas, Cain bought two community newspapers and started others before selling them to Stephens Media, publisher of the Las Vegas Review-Journal.

"[6] By 2018, Michael McCarthy of Sporting News argued that Cain "provides a valuable balance to ESPN" and noted he had become a “virtual third debate partner” with Stephen A. Smith, Max Kellerman and Molly Qerim on First Take.

[18] On January 13, 2025, Fox News announced that he would become the permanent host of the network's 4 p.m. hour following the departure of long-time anchor Neil Cavuto.

[20] On a January 2017 episode of First Take, Cain said that he did not vote for Trump in the 2016 election,[21] which he later reiterated in a 2020 interview discussing his move from ESPN to Fox News.