Koechner first became involved in performing when he began studying improvisational comedy in Chicago at ImprovOlympic, under the teachings of Del Close, before joining the Second City Northwest. Koechner relocated to New York City in 1995, doing year long stints of sketch comedy as a cast member on "Saturday Night Live" (1995–1996) and as a sketch regular on "Late Night with Conan O'Brien" in the mid 1990s. In 1997, Koechner moved to Los Angeles and started working regularly in various film and television comedies, making his first film appearances with small roles in the films such as "Wag the Dog", "", and "Man on the Moon".