McKean’s first big role was playing annoying neighbor Lenny Kosnowski on the sitcom Laverne & Shirley. He also played Mr. Green in the film version of Clue (1985), which was based on the board game Clue. In the mid-1990s he was a repertory cast member on Saturday Night Live. He has played roles in several Christopher Guest ensemble films, particularly as David St. Hubbins, lead vocalist and co-lead guitarist of the fictional rock band Spinal Tap in This Is Spinal Tap. He co-wrote the song "A Mighty Wind" (from the film of the same name), which won a Grammy Award, as well as "A Kiss at the End of the Rainbow" from the same film, which was nominated for the Academy Award for Best Song.
Since 2015, McKean has portrayed Chuck McGill, brother of the title character, as a series regular on the AMC drama and Breaking Bad spin-off prequel series Better Call Saul.