Nealon was born on November 18, 1953 in St. Louis, Missouri, one of five children of Kathleen M. (née Kimball; 1928-2020) and Emmett F. Nealon (1925–2018), an aircraft company executive. A few months after he was born, the family moved to Bridgeport, Connecticut; when he was six, they moved to Germany for four years. He is of Irish descent, and was raised Catholic. He graduated from St. Joseph High School in Trumbull, Connecticut, in 1971 and earned a bachelor’s degree in marketing from Sacred Heart University. He then took night courses at Fairfield University, where he played quarterback on the football team.

Nealon played in bands in high school and gravitated to comedy in college. In 1977 he moved to San Diego and then to Los Angeles, where he learned his craft at the Improv while tending bar there for a living. He had been doing stand-up for six years when he made his network television debut on The Tonight Show Starring Johnny Carson in 1984. He later became a regular there and on Late Night with David Letterman.

In 1986, Saturday Night Live recruited his friend Dana Carvey, and Carvey in turn recommended Nealon. Both joined the cast that year, and Nealon became a full-time performer in the 1987–1988 season, and remained for nine seasons. Nealon’s SNL characters include Mr. Subliminal (which also became known as the “Subliminal Editorial” when Nealon was promoted to Weekend Update anchorman), Frank Gannon, P.I.P.I. (for Politically Incorrect Private Investigator), Bob Waltman (a male Barbara Walters), and Franz (of Hans and Franz) along with Carvey. He also anchored Weekend Update from 1991 to 1994. He stayed on SNL for one more season, and left in 1995, after a then record nine seasons. (His record was later surpassed by Tim Meadows, Darrell Hammond, and Kenan Thompson).

Nealon was dating Jan Hooks when they were both hired by Saturday Night Live. In 1989 he married Linda Dupree, a model and stuntwoman; they divorced in 2002. During this time, Nealon, who has been a vegan since 1989, became active in the animal rights movement; he has supported PETA, the Amanda Foundation, Farm Sanctuary, the Washington Wildlife Alliance, The Ark Trust’s Genesis Awards, and also Meat Out.

In 1991, he had his first major film role, as boyfriend Tony Boer in All I Want for Christmas. Other films in which he has since appeared include Happy Gilmore, The Wedding Singer, Anger Management, Little Nicky, Just Go with It, Daddy Day Care, Good Boy!, and Aliens in the Attic (2009). He has a part in many of Adam Sandler’s Happy Madison films, including Grandma’s Boy (2006), You Don’t Mess with the Zohan (2008), and Father of the Year (2018), and made a cameo appearance in the 2008 film Get Smart.

In 1994, Nealon hosted the 13-part series Amazing America on the Discovery Channel. In 2002, he hosted The Conspiracy Zone on The New TNN for 26 episodes plus an unaired pilot. In 2004, he hosted the first season of Poker Royale on the Game Show Network. Nealon also hosted several years of World’s Funniest Commercials specials on TBS in the 2000s.

Nealon had a recurring television role on the 2002-06 CBS comedy Still Standing playing Ted Halverson, the Millers’ competitive and religious neighbor. He also appeared as a patient in a mental institution on the first season of Monk. “Deja Vu” is an episode of The Outer Limits television show. It first aired on 9 July 1999, during the fifth season. Nealon played Dr. Mark Crest. Nealon also had an ongoing supporting role as Doug Wilson on the show Weeds on Showtime. In 2009–2011 he voiced the title character in Nick at Nite’s animated series Glenn Martin, DDS.

On September 3, 2005, he married Susan Yeagley in Bellagio, Italy. They have a son, Gable, born in 2007.

On February 22, 2006, Nealon contributed an opinion article to the New York Times about having his phone tapped and his police records searched by Hollywood private investigator Anthony Pellicano, who was later convicted of crimes including racketeering and illegal wiretapping. It was also revealed in a separate court case later the same month that investigators working for the Ringling Brothers and Barnum & Bailey Circus may also have targeted Nealon for wiretapping in connection with his work for PETA. Nealon holds dual Irish and American citizenship.

In 2008, he published a book chronicling his experiences during his wife’s pregnancy, Yes, You’re Pregnant, But What About Me?.

Starting in 2015, Nealon portrayed Captain Telstar in commercials for Charter Spectrum. Since 2016 he has been a regular on the TV sitcom Man with a Plan, and since 2017 he has also hosted a YouTube show called Hiking with Kevin.

Nealon is a fixture on the European melodic rock scene, and in 2019 he used his fame to organize a benefit for close friend and ailing rocker Tony Mills. All proceeds from the festival went towards Mills’ medical expenses.