Balding, with hair that looks like it was just electrified, Wright began performing in Boston comedy clubs in the late 1970s and by 1982 had made his first appearance on "The Tonight Show Starring Johnny Carson". He went on to make nine appearances over the next three years. Home Box Office (HBO) took notice, and gave Wright his first chance to headline a TV special, 1985's "On Location: Steven Wright". The next year, Wright appeared on the first "Comic Relief" special, and has performed a routine on each once since. During the 80s he also guest hosted "Saturday Night Live" (NBC), guested on "The Smothers Brothers Thanksgiving Special" (CBS, 1988) and even appeared on "The Prince's Trust Gala" (TBS, 1989), an uppercrust affair of the royals in the UK. Yet despite ongoing appearances on late-night talk shows, Wright has yet to reach the top rungs of comic stardom. Instead, his TV acting appearances have been in support of others, such as his 1993 recurring role as Warren, Paul Reiser's laconic cameraperson, on "Mad About You" (NBC). He also made a memorable guest appearance on HBO's "The Larry Sanders Show" in 1992.
Wright made his screen debut playing the dentist Larry Stillman in "Desperately Seeking Susan" (1985), then appeared in the ensemble cast of "Stars and Bars" (1988). He voiced the DJ in "Reservoir Dogs" (1992) before playing the unskilled pilot in "So I Married An Axe Murderer" (1993). In 1994, he was featured in a number of roles, including Dr. Reingold in "Natural Born Killers", the man at the phone booth in "Mixed Nuts" and voiced the ironically named turtle Speed in the animated children's film "The Swan Princess". On occasion, Wright has written for film and TV, notably Jim Jarmusch's "Coffee and Cigarettes" (1986), in which he also appeared, and his own special, "Wicker Chairs and Gravity" (HBO, 1990).