Macy spent time in Los Angeles before moving to New York City in 1980, where he had roles in over fifty Off Broadway and Broadway plays. One of his earliest on-screen roles was as a theatre critic congratulating Christopher Reeve in the 1980s "Somewhere In Time", under the name W.H. Macy (so as not to be confused with the actor Bill Macy). Another memorable early performance was as a turtle named Socrates in the direct-to-video film "The Boy Who Loved Trolls" (1984). He also had a minor role as a hospital orderly on the sitcom "Kate & Allie" in the fourth-season episode "General Hospital", and played an assistant district attorney in "Everybody's Favorite Bagman", the first produced episode of "Law & Order"; in both appearances, he was billed as W. H. Macy. He has appeared in numerous films that Mamet wrote and/or directed, such as "House of Games", "Things Change", "Homicide", "Oleanna" (reprising the role he originated in the play of the same name), "Wag the Dog", "State and Main" and "Spartan".