Mark was born to Russell, a Canadian diplomat, and Chloe, an architectural writer, McKinney. Since his dad was a diplomat Mark and his siblings spent most of their childhood traveling with him. Mark's younger brother, Nick, is also a comedian and appeared on the short lived Comedy Central sketch comedy show The Vacant Lot. Mark attended a number of schools in cities around the world while traveling with his father, including Trinidad, Paris, and Washington D.C. He met Bruce McCulloch at the Loose Moose Theater Company, and the two joined with two other comedians to form the comedy troupe, 'The Audience', which performed at Theatresports. Later, Mark moved with Bruce to Toronto and met Dave Foley and Kevin McDonald . They combined to form The Kids In the Hall. He then later starred in the TV cult sensation, "The Kids in the Hall" (1988) . After the show was canceled in 1994, Mark became a cast member of "Saturday Night Live" (1975) from 1995 to 1997. Mark had roles in various movies including A Night at the Roxbury (1998), The Out-of-Towners (1999), The Ladies Man (2000) and Dog Park (1998) and Superstar (1999) which were both directed by Kids In The Hall co-star and friend Bruce McCulloch.

Son, Christopher Thomas Russell McKinney, born March 4, 1996.Has an older sister, Jayne, and a younger brother Nick McKinney , who is a member of the sketch comedy troupe, The Vacant Lot.Daughter, Emma Jane McKinney born in July of 2001.Although all five members of the "The Kids in the Hall" (1988) troupe were offered a spot on "Saturday Night Live" (1975), McKinney was the only one who accepted.Is the tallest member of the Kids in the Hall, being one inch taller than Scott Thompson and Kevin McDonald .Frequently works with longtime collaborator and fellow "The Kids in the Hall" (1988) member, Bruce McCulloch .Is the most verbally versatile member of the "The Kids in the Hall" (1988) troupe.