McKay studied under
Del Close at
The Second City and then joined The Second City Touring Company. He performed in one revue as a member of the Second City e.t.c. company and filled in on the Mainstage in the 79th Review before moving fully to the Mainstage for Second City's 80th revue, Piñata Full of Bees. The landmark show also featured
Jon Glaser,
Rachel Dratch, and
Scott Adsit. McKay is one of the founding members of the
Upright Citizens Brigade improv comedy group and a former performer at Chicago's
ImprovOlympic, where he was a member of the improv group, The Family, whose members included
Matt Besser,
Ian Roberts,
Neil Flynn, Miles Stroth, and
Ali Farahnakian, as well as
Child's Play Touring Theatre. He also directed a number of
short films for the show, including the original
SNL Digital Shorts. McKay encouraged his Second City friend
Tina Fey to submit some of her scripts to
Saturday Night Live, and she later succeeded him as head writer. Despite no longer being head writer, McKay would remain at SNL as a regular writer until 2001, where he would depart from the series, after six years. In his final two years of tenure at
SNL, he requested and earned a credit as "Coordinator of Falconry", an honorific credit. Shortly after leaving
SNL, McKay teamed up with comedian
Will Ferrell to form production company
Gary Sanchez Productions and write the comedy films
Anchorman: The Legend of Ron Burgundy (2004),
Talladega Nights: The Ballad of Ricky Bobby (2006),
Step Brothers (2008), and
The Other Guys (2010), all of which he also directed, produced and made
cameo appearances in as an actor. Ferrell and McKay co-produced the
HBO series
Eastbound & Down. McKay was one of the writers for the film
The Campaign (2012), and produced the film ''
Daddy's Home (2015), the latter of which reunited The Other Guys
stars Ferrell and Mark Wahlberg, and was directed by Sean Anders. McKay also rewrote the script for the Marvel Studios feature film Ant-Man'', directed by
Peyton Reed; McKay had initially been in talks to direct the film following
Edgar Wright's departure, but opted not to out of respect for Wright. McKay also worked with Reed,
Paul Rudd, Gabriel Ferrari and Andrew Barrer on
Ant-Man and the Wasp to flesh out the story. He has also expressed interest in helming a
Silver Surfer movie for
Marvel Studios.
Films and television He produced the films
Land of the Lost (2009),
The Goods: Live Hard, Sell Hard (2009),
The Virginity Hit (2010),
Casa de Mi Padre (2012),
Bachelorette (2012), ''
Tim and Eric's Billion Dollar Movie (2012), The Campaign (2012), Hansel & Gretel: Witch Hunters (2013), Tammy (2014), Welcome to Me (2014), Get Hard (2015), Sleeping with Other People (2015), Daddy's Home (2015), and The Boss (2016). In addition to Eastbound & Down
, McKay has produced the television series Big Lake and Succession, whose pilot he directed, and the miniseries The Spoils of Babylon, and The Chris Gethard Show''. In April 2019, McKay and Ferrell announced that they were separating as producing partners but would continue producing all projects currently in development or in production at Gary Sanchez Productions. It was later revealed the reason for the split was because McKay cast
John C. Reilly as
Jerry Buss on the show
Winning Time: The Rise of the Lakers Dynasty, a role that Ferrell had coveted, without informing him.
Hyperobject Industries In 2019, McKay launched a new production company,
Hyperobject Industries, which has a
first look overall television deal with
HBO and had a first-look feature deal at
Paramount Pictures. Hyperobject Industries' first television project was an HBO pilot based on Jeff Pearlman's non-fiction book
Showtime: Magic, Kareem, Riley and the Los Angeles Lakers Dynasty of the 1980s. McKay directed the pilot. More recently, McKay's Hyperobject Industries has a first look deal with
Apple.
Directing '' in November 2013 McKay has directed, and co-written with Will Ferrell, the films
Anchorman: The Legend of Ron Burgundy (2004),
Talladega Nights: The Ballad of Ricky Bobby (2006),
Step Brothers (2008),
The Other Guys (2010), and
Anchorman 2: The Legend Continues (2013). He has directed an "alternate film" about
Ron Burgundy that is considered a companion to
Anchorman: The Legend of Ron Burgundy (2004) entitled
Wake Up, Ron Burgundy: The Lost Movie (2004), which is made up mostly of alternative takes, deleted scenes, and scrapped sub-plots from the original film strung together with a narrative. McKay directed and co-wrote with Ferrell the
George W. Bush Broadway show ''
You're Welcome America. He produced the horror-action film Hansel & Gretel: Witch Hunters''. McKay directed the TV movie documentary
Lifecasters (2013). He has directed a number of short films, including digital shorts for
Saturday Night Live, and the short video "Good Cop, Baby Cop" for Funny or Die that stars his daughter Pearl. Among the other short films he has directed include
The Procedure (2007) starring
Will Ferrell,
Willem Dafoe, and
Andy Richter,
Green Team (2008) starring Ferrell,
John C. Reilly, and himself, and the
K-Swiss commercial,
Kenny Powers: The K-Swiss MFCEO (2011), starring
Danny McBride as
Kenny Powers from
Eastbound & Down, which he co-produces with Ferrell and has also directed an episode of. He directed and wrote
the film adaptation of the
Michael Lewis non-fiction book
The Big Short, about the
2008 financial crisis, and the build-up of the financial and credit bubble. The film opened in
limited release on December 11, 2015, expanded to
wide release on December 23, 2015; the film starred
Brad Pitt,
Christian Bale,
Ryan Gosling, and
Steve Carell. He received a nomination for the
Academy Award for Best Director and the
Academy Award for Best Adapted Screenplay for his work in the film, winning his first Academy Award in the latter category. In 2016, he and co-writer Charles Randolph received the
USC Scripter Award for their screenplay. In 2016, he became attached to the superhero film
Irredeemable based on the
comic of the same name by
Mark Waid. In November 2016, McKay began development of the
biographical black comedy Backseat, about former
U.S. Vice President Dick Cheney and his rise to power, though the title was eventually changed to
Vice. Starring
Christian Bale as Cheney, the film was released in the United States on December 25, 2018, by
Annapurna Pictures.
Vice received eight nominations at the
91st Academy Awards, including the
Best Picture and McKay's second nomination for Best Director, and won for
Best Make-Up and Hairstyling. In 2020, McKay began working on the
satirical black comedy ''
Don't Look Up'', about two low level
scientists trying to convince the world that a catastrophic
comet is coming. McKay wrote the script and produced the film for
Netflix.
Jennifer Lawrence,
Leonardo DiCaprio,
Jonah Hill,
Rob Morgan,
Tyler Perry,
Meryl Streep, and
Cate Blanchett star in the film. It received a
limited theatrical release in December 2021, before streaming on
Netflix later in the month. The film received four nominations at the
94th Academy Awards, including
Best Picture. McKay was set to work with
Jennifer Lawrence for the biographical film
Bad Blood, about entrepreneur
Elizabeth Holmes, and based on the book
Bad Blood: Secrets and Lies in a Silicon Valley Startup. Originally set to be produced by
Legendary Pictures and released by
Universal Pictures, in December 2021, the project was picked up by
Apple Studios. In November 2022, however, Lawrence left the project due to not wanting to copy
Amanda Seyfried's performance in
The Dropout. The current status of the project is unknown. In March 2023, it was revealed that McKay's next project would be titled
Average Height, Average Build, a political satire focused on a serial killer. The film was set to star
Robert Pattinson,
Amy Adams,
Robert Downey Jr.,
Forest Whitaker, and
Danielle Deadwyler. On April 30, 2023, it was announced the project had been acquired by
Netflix. On December 4, 2023, it was announced that McKay had left the project to pursue a film on climate change, and the project was subsequently scrapped. He produced the 2025 documentary
You Need This, about the impact of
consumerism.
Funny or Die In 2007, McKay and Ferrell launched the user-submitted comedy video site
Funny or Die. A video on the site, titled
The Landlord, features both him and his young daughter, Pearl, whom Ferrell and his wife bait to say
curse words. Pearl also starred in a second video titled
Good Cop, Baby Cop.
Podcasting From November 2015 until October 2016, McKay hosted the science/comedy podcast
Surprisingly Awesome with
Adam Davidson, produced by
Gimlet Media. McKay additionally produced
Broken: Jeffrey Epstein and
Broken: Seeking Justice, a podcast series that explored the
Jeffrey Epstein case. His next podcast project,
Death at the Wing, investigated a series of deaths among high-profile young
basketball players in the 1980s and 1990s. In February 2022, he appeared as a guest on
Smartless, a comedic podcast hosted by
Jason Bateman,
Will Arnett and
Sean Hayes. In 2023, he hosted
Death on the Lot about celebrity deaths in Hollywood in the 1950s. == Political views ==