Trivia

Although his work at Saturday Night Live (1975) was mainly as a writer and director, he made several appearances on the show, usually as an oversized, obnoxious audience member who heckles the host or cast members until the stars verbally or physically attack him. McKay had auditioned for Saturday Night Live (1975) as an actor while he was still with the Second City Improv, but didn't make the cut as on-camera talent. But he had submitted four scripts to the show, which got him hired as a writer.

His daughter, Pearl McKay, is featured in two short films with Will Ferrell - The Landlord (2007) and Good Cop, Baby Cop (2007). The films share the common theme of toddler Pearl ruthlessly bullying Ferrell.

Was one of the founding members of the Upright Citizens Brigade comedy troupe.

Is an alumnus of the Second City Improv Company in Chicago, Illinois.

He was awarded a Star on the Hollywood Walk of Fame at 6767 Hollywood Boulevard in Hollywood, California on February 17, 2022. His Walk of Fame star is located in front of the Hollywood Wax Museum.

Directed three actors to an Oscar nomination: Sam Rockwell, Christian Bale (twice) and Amy Adams.

Brother-in-law of Jeremy Piven. Son-in-law of Byrne Piven and Joyce Hiller Piven.

Through 2000 and 2001, McKay made several short films for Saturday Night Live (1975). Actors such as Steve Buscemi, Willem Dafoe, Jimmy Fallon, Will Ferrell, Patrick McCartney, Jerry Minor, Tracy Morgan, Chris Parnell, Andy Richter, Horatio Sanz, Molly Shannon and Ben Stiller have appeared in his SNL shorts. In 2004, McKay directed his first full feature film, Anchorman: The Legend of Ron Burgundy (2004), which he co-wrote with Will Ferrell.

On the DVD commentary for Anchorman: The Legend of Ron Burgundy (2004), he pretended he was a producer of the movie named "Aaron Zimmerman".

Is an alumnus from the Famous Improv Olympic along with actors Vince Vaughn, the late Chris Farley, Ossie Beck, Tina Fey, Amy Poehler and Mike Myers.

As a college student, he was a stand-up comic and once had a guy throw a bottle at him while on stage. He was also a student of Del Close's at the IO Theater.

With wife Shira Piven, has two daughters, Lili Rose McKay and Pearl McKay.

Friends with Paul F. Tompkins and Jay Johnston.

He has directed three films that have been nominated for the Best Picture Oscar: The Big Short (2015), Vice (2018) and Don't Look Up (2021).