The well-traveled son of a diplomat, McKinney dropped out of college and broke into comedy at a Calgary, Canada, theater, where he met Bruce McCulloch and formed The Audience. The duo left for Toronto in 1983, where they eventually teamed up with Dave Foley, Scott Thompson and Kevin McDonald to form The Kids in the Hall. Toronto native and famed creator of "Saturday Night Live", Lorne Michaels saw their act and launched their TV show on Canadian TV in 1989. (It played on CBS, HBO and Comedy Central in the USA.)

The Kids in the Hall were known for their arcane pop references, and their use of not so much drag as male transformations into female characters--a shtick in which all participated. Their skits might be raucous or bawdy, or merely the musings about the moon on a summer's night. While never gaining the widespread audience of other groups, they still garnered a fan following greater than what one might term a cult. His most disturbing characters were the freakish and voracious Chicken Lady and the Headcrusher, described by McKinney as "a misanthropic loner who sits in public parks sighting pedestrians between his thumb and forefinger and crushing their heads." McKinney in particular has demonstrated a flair with accents and impersonations (on "SNL" he mimicked Steve Forbes during the 1996 Presidential campaign).