From a French-Canadian family, Gagné grew up playing ice hockey in his small hometown of Mascouche, located not far from Montreal. A fan of the Montreal Expos, he started playing baseball as well as hockey. As a teenager he was a brilliant pitcher in high school, eventually becoming a star with Canada's Junior World Championship teams.

Gagné was a 38th-round draft choice of the Chicago White Sox in 1994, but the following year he signed with the Los Angeles Dodgers as an amateur free agent. Gagné, who could not speak English, went to study at Seminole Junior College in Seminole, Oklahoma. Remarkably, he taught himself English while a student and pitched for the college's "Trojans" ball team. One way he learned English was by watching the sitcom Kenan and Kel. He then went on to pitch in the minor leagues but missed the entire 1997 season due to Tommy John surgery. He joined the Los Angeles Dodgers team for a part of the 1999 season; in his first year in the major leagues, he appeared in only five games as a starting pitcher. Over his first three seasons he met with only mediocre success, winning 11 games while losing 14. At one point, the Montreal Expos offered a trade to the Los Angeles Dodgers which would have sent the outfielder, Milton Bradley for Éric Gagné, but the Dodgers backed out at the last moment. At the start of the 2002 season, he was converted from a starting pitcher to a relief pitcher, and soon became the National League's leading reliever, earning 52 saves for the season.

In 2003, as a closer, Gagné was called upon 55 times to save a baseball game and converted every one of them en route to becoming both the first pitcher to record 50 saves in more than one season and also the fastest pitcher to ever reach the 100-save plateau. His 55 saves in 2003 also equaled the National League record set the previous season by John Smoltz. Between August 26, 2002 and July 5, 2004, he saved 84 consecutive games - another major league record. What is also so exceptional about him as a power pitcher is that 55 percent of the batters he retired during the 2003 season came by strikeout.

Gagné finished the 2003 season with an 1.20 earned run average and had 137 strikeouts and 20 walks in 82 1/3 innings pitched. For his performance, he won the Rolaids Relief Man of the Year Award and became the first relief pitcher in 11 years to win the Cy Young Award. With Ferguson Jenkins, he is one of only two Canadian pitchers to win the most prestigious pitching award in baseball.

On July 15, 2004 - just ten days after his saves streak ended - Gagné collected his 130th save as a Dodger in a 5-2 win over the Arizona Diamondbacks at Bank One Ballpark in Phoenix, Arizona, surpassing Jeff Shaw for the most career saves in team history.

On June 21, 2005, it was announced that Gagné would undergo season-ending Tommy John surgery to repair a sprained ligament in his right elbow. Upon further examination, doctors discovered instead a nerve entrapped by scar tissue and released it with a less invasive procedure. Gagné was still unable to play for the remainder of the 2005 season, and he finished 2005 1-0 with a 2.70 ERA in 14 games, with 8 saves in 8 opportunities.

Early in the 2006 regular season another surgery to remove the nerve occurred, extending his recovery. During a late May Triple-A rehab outing, he struck out two batters in a perfect ninth inning. As of June, 2006, he as returned to pitch for the Los Angeles Dodgers

His nickname of Game Over comes from when he enters the game to come in for the save. The Dodgers flash the words Game Over on the electronic screen.

His entrance music is Welcome to the Jungle by Guns n Roses