He is best known for his work as a member of the sketch comedy troupe The Kids in the Hall from 1989 to 1994, and as a cast member on Saturday Night Live from 1995 to 1997.

Mark McKinney has appeared in several films, including the SNL spinoffs Superstar, The Ladies Man and A Night at the Roxbury. McKinney also starred opposite Isabella Rossellini in Guy Maddin's acclaimed tragicomedy The Saddest Music in the World.

McKinney cowrote and starred in the Kids in the Hall movie Brain Candy, in which, among other roles, he spoofed SNL and KITH executive producer Lorne Michaels.

He has also guest-starred in an episode of the Canadian horror series The Collector. McKinney played a man who sold his soul to the devil for the chance to meet with space aliens. As well, he has appeared on the CBC Radio post-apocalyptic comedy Steve, the First and its sequel.