When the Comedy Store opened in London in 1979, Sayle responded to an advert in Private Eye for would-be comedians and became its first master of ceremonies. In 1980, comedy producer Martin Lewis saw Sayle perform at the Edinburgh Festival Fringe and became his manager.
Sayle's early work included several performances for Capital London. In 1979 he wrote and performed the radio series, Alexei Sayle and the Fish People, for which he won a Pye Radio Award (later known as the Sony Radio Awards). Sayle later released an album based on the show, The Fish People Tapes. This was followed by Alexei Sayle and the Dutch Lieutenant's Trousers in 1980, the name being a reference to John Fowles' book. He has since contributed to many other radio shows, including writing the five-part sitcom series, Sorry About Last Night (1999), in which he also played the leading role. On 3 November 2006 he presented Chopwell Soviet, a 30-minute programme on BBC Radio 4 that reviewed the Chopwell miners 80 years after the village of Chopwell became known as Little Moscow. Sayle returned to Radio 4 in 2016 with Alexei Sayle's Imaginary Sandwich Bar. In 2019, he narrated the dramatisation of four of his short stories in the series Alexei Sayle's The Absence of Normal, again on Radio 4.