Hedberg was born on February 24, 1968, in Saint Paul, Minnesota, the son of Mary (née Schimscha) and Arne Hedberg. He was of Swedish (from his paternal grandfather), Czech, and German descent. Hedberg attended Harding High School in Saint Paul. He admitted to having no interest in school and barely graduated.

In 1999, he completed his own independent feature film, Los Enchiladas!, which he wrote, directed, produced, and starred in. He recorded three comedy CDs: Strategic Grill Locations, Mitch All Together, and Do You Believe in Gosh?, the last released posthumously. He appeared at the Montreal Just for Laughs comedy festival in 1998, 2001, and 2004.

Hedberg was a frequent recreational drug user, mentioning it in some of his jokes (e.g., “I used to do drugs. I still do, but I used to, too”). He was interviewed by Jonathan Davis in the December 2001 issue of Penthouse. In the interview, published three years before his death, he was asked, “If you could choose, how would you end your life?” He replied, “First, I’d want to get famous, and then I’d overdose. If I overdosed at this stage in my career, I would be lucky if it made the back pages.” In May 2003, he was arrested in Austin, Texas for heroin possession. On October 12, 2004, Hedberg sat in on the news with Robin Quivers on The Howard Stern Show. He appeared on the show again on March 17, 2005, and briefly discussed his drug use, saying, “Well, you know, I got the drugs under control now.” Stern asked, “Do you? You know how to take them responsibly?” Hedberg replied, “Yeah, you know, just for the creative side of it.”

Hedberg was married to Canadian comedian Lynn Shawcroft from 1999 until his death in 2005.

On March 30, 2005, Hedberg was found dead in a hotel room at The Westminster Hotel in Livingston, New Jersey. The New Jersey medical examiner’s office reported “multiple drug toxicity” in the form of cocaine and heroin as the cause. Hedberg’s death was formally announced on April 1, 2005, leading some to believe it was an April Fools’ Day joke. His funeral was held at St. Ambrose of Woodbury Church in Minnesota.

Comedy Central Records released an album, Do You Believe in Gosh? on September 9, 2008, that contained material Hedberg recorded at The Improv in Ontario, California in January 2005. His wife, Lynn, wrote in the introduction that the performance had been in preparation for a year-end CD recording.