Nealon debuted on network television doing a stand-up routine for The Tonight Show with Johnny Carson in 1984. 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 (or Subliminal Message Man), Franz (of Hans and Franz) along with Dana Carvey, Mr. No Depth Perception, the anchor of Weekend Update (where his catchphrase was "That's news to me"), and many others.

In 1991, he starred in the holiday movie, All I Want for Christmas. More recently Nealon has appeared in the movies Happy Gilmore, Anger Management, Little Nicky, Daddy Day Care, Good Boy! and Grandma's Boy. In fall 2005, he appeared in an episode of Curb Your Enthusiasm, where he played himself (Season 5, Episode 4).

Nealon had a recurring television role on the 2002-06 CBS comedy Still Standing playing Ted Halverson, the Millers' competitive and religious neighbor. He has 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 has an ongoing supporting role as Doug Wilson on the show Weeds on Showtime.

In 2002 Nealon Hosted The Conspiracy Zone on The New TNN for 26 episodes plus an unaired pilot.

Nealon appeared as a couples counselor on the sitcom, 3rd Rock From The Sun. He had a small cameo appearance in the 2008 film Get Smart.

Nealon also hosted the World's Funniest Commercials on TBS. In a performance similar to Bob Saget, Nealon tells corny jokes in between each funny commercial. In 2008, a book authored by Nealon chronicling his experiences during his wife's pregnancy called Yes, You're Pregnant, But What About Me? was released.