Nealon graduated with a bachelor's degree in marketing from Sacred Heart University, and worked in a variety of part-time jobs while doing stand-up comedy. He 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.

More recently Nealon has appeared in the movies Happy Gilmore, Anger Management, Little Nicky, Daddy Day Care, and Good Boy!.

Nealon is now a regular cast member on the Showtime comedy series Weeds and the host of the poker show Poker Royale: The WPPA Championship.

He recently (Fall 2005) appeared in an episode of Curb Your Enthusiasm, where he played himself (Season 5, Episode 4).

On February 22nd 2006, Mr. Nealon contributed a story to the New York Times about being wiretapped by Hollywood private investigator Anthony Pellicano, who has been indicted on racketeering and conspiracy charges. The article is mostly humorous and gives an exceptional insight to Kevin's comedy talents.

It was also revealed in a separate court case on February 27, 2006, that investigators working for the Ringling Brothers and Barnum & Bailey Circus may also have targeted Nealon for wiretapping . Nealon and his wife have been active in the animal rights movement, supporting fund-raising events for the Amanda Foundation, the Washington Wildlife Protection Association , The Ark Trust's Genesis Awards and also Meat Out.

He is a vegan and lives in the Lake Tahoe area.