Koechner first became involved in performing when he began studying improvisational comedy in Chicago at ImprovOlympic, under the teachings of Del Close, before joining the Second City Northwest. After yearlong stints of doing sketch comedy on Saturday Night Live and Late Night with Conan O'Brien in the mid 1990s, Koechner began appearing with small roles in the films such as Wag the Dog, Austin Powers: The Spy Who Shagged Me, and Man on the Moon.
Koechner was born in Tipton, Missouri, to Margaret Ann (née Downey) and Cecil Stephen Koechner. He has two brothers, Mark and Joe, and three sisters, Mary-Rose, Cecilia and Joan. His father ran a business that manufactured turkey coops (Koechner has stated that "If you see a turkey going down the road in a big truck, most likely its coop is from Tipton..."). He was raised Catholic, and is of German, English, and Irish descent. Koechner studied Political Science at Benedictine College and the University of Missouri, before he eventually decided to pursue a career in improvisational comedy and moved to Chicago. After studying at Chicago's ImprovOlympic, under famed improvisation instructor Del Close, Koechner joined The Second City comedy troupe in Chicago, graduating in 1994.
In 1995, Koechner landed a year-long stint on Saturday Night Live, joining the show with Second City friends Nancy Walls and Adam McKay. During his time at SNL, he befriended guest-writer David 'Gruber' Allen, and castmate Will Ferrell. Some of Koechner's recurring skits included Bill Brasky, the British Fops (playing Fagan, opposite Mark McKinney), Gary Macdonald (the fictional younger brother of Weekend Update anchor/SNL castmember Norm Macdonald, based on "Jokey", a character he originated at Second City), Will Ferrell's "Get Off the Shed" sketches (playing his neighbor, Tom Taylor), and Gerald "T-Bones" Tibbons. Koechner impersonated several celebrities, including Burt Reynolds, Mike Ditka, Charlie Sheen, Robert Shapiro, Willard Scott, Oliver Stone, Phil Gramm, David Kaczynski, and Pat Buchanan. After his one-season on SNL, Koechner joined the 1996–97 sketch cast of Late Night with Conan O'Brien.
On the set of the 1999 country music mockumentary, Dill Scallion, Koechner struck a partnership with SNL friend David 'Gruber' Allen, joining Allen's improvisational comedy act, The Naked Trucker Show.
Koechner joined the act as Gerald "T-Bones" Tibbons, a character he had been playing on comedy stages for a few years, including a recurring character bit on SNL. Gerald Tibbons dates back to 1995, when he filmed a short television pilot based on the character's misadventures. The "Gerald" character, based on a real drifter named Four-Way George, became so popular that Koechner would go to auditions, only to find that directors were always demanding his stage persona. The stage act, a mix of stand-up comedy and off-color country songs, became a hit on the Hollywood improv circuit, ultimately landing television performances on Late Night with Conan O'Brien, Jimmy Kimmel Live! and Real Time with Bill Maher. The Naked Trucker and T-Bones Show toured with fellow comedic musical duo, Tenacious D.
In 2004, Koechner landed his largest film role up to that point, as sports reporter Champ Kind in Anchorman: The Legend of Ron Burgundy. As part of the Anchorman ensemble, Koechner shared two MTV Movie Award nominations for Best On-Screen Team and Best Musical Performance. MTV's initial press release accidentally listed Fred Armisen instead of David Koechner, but eventually corrected the error on their website, crediting Koechner during the broadcast. Following this role, he landed small and supporting roles in such films such The 40-Year-Old Virgin, Talladega Nights, The Dukes of Hazzard and Snakes on a Plane. In 2006, he made his voice acting debut in Barnyard as "Dag". That same year, he had a supporting role as a gun lobbyist in the critically acclaimed satire, Thank You for Smoking. The three actors portrayed lobbyists for the tobacco, alcohol, & gun industries, dubbed The M.O.D. (Merchants of Death) Squad. Thank You for Smoking was one of the best-reviewed films of Koechner's career, and he was included in Fox Searchlight's Oscar campaign, among the film's listings for Best Supporting Actor.
After co-starring in Anchorman and The 40-Year-Old Virgin, fellow Second City alum Steve Carell personally recommended Koechner for a recurring role on NBC's The Office, playing Todd Packer. Koechner's role is the American version of Chris Finch from the original. Packer is an obnoxious, alcoholic best friend of Carell's character. Koechner guest-starred, both in person and voice, on fifteen episodes of the series. His frequent work with actors Ferrell, Carell, Jack Black, and Ben Stiller have led some critics and journalists to point out his association with the media-dubbed "Frat Pack". David had a guest starring role as Uncle Earl in an episode on Hannah Montana.
In 2007, Koechner was seen in his first leading role in The Comebacks (which opened on October 19), the first comedy to be released under Fox Searchlight's Fox Atomic division. He played a college football coach with the worst record in the history of the sport who vows to turn things around with his new team of ragtag recruits. He described this career opportunity as the "first lead for the right-hander." Veteran actor Carl Weathers played Koechner's rival coach. Though Koechner, who usually writes and improvises his material, had no involvement with the screenplay, he complimented director Tom Brady for taking "great care to make it as smart as he could", adding that it's a sports comedy rather than a spoof.
On January 17, 2007, Comedy Central premiered The Naked Trucker and T-Bones Show, a sketch comedy series starring Koechner (as T-Bones) and longtime performing partner Dave "Gruber" Allen (as The Naked Trucker). The duo performs their unique brand of off-color songs and introduces pre-taped skits. Many of Koechner's past co-stars made cameos, including Will Ferrell, Jack Black, Steve Carell, Andy Richter, Dax Shepard, and Paul Rudd. The pre-taped skits gave Koechner more screen time than Allen, often letting him showcase his comedic charisma alongside guest stars like Richter and Shepard. Comedy Central ordered eight episodes.
In the eight years Koechner & Allen have been playing these characters, there have been several attempts to bring the act to television, but they had trouble figuring how to translate it into a series. Koechner & Allen's first album, Naked Trucker and T-Bones Live at the Troubador, was released March 20, 2007. Koechner co-starred with Luke Wilson in the 2009 indie-comedy Tenure and was a lead in the 2012 horror film Piranha 3DD. Koechner returned as Champ Kind, in Anchorman 2: The Legend Continues (2013).
Following the release of Live at the Troubador, Koechner revealed that a T-Bones film is in development with Will Ferrell and Adam McKay's Gary Sanchez Productions. Koechner wrote the script with veteran television writer/producer Norm Hiscock, who also wrote for The Naked Trucker and T-Bones Show, in addition to past work on Saturday Night Live, The Kids in the Hall, and King of the Hill. He made his first return guest appearance to Saturday Night Live on December 7, 2013 with his fellow Anchorman co-stars Will Ferrell, Steve Carell, and the episode's host, Paul Rudd. The Anchorman stars sang "Afternoon Delight" with the episode's musical guest One Direction during the opening monologue. Koechner and Ferrell also reprised their Bill Brasky sketch in the same episode.
In 2015, Koechner began co-starring as Commodore Bellacourt in the Comedy Central series Another Period. He also currently recurs as Bill Lewis on The Goldbergs.
In a contrast to his largely comedy-based acting career, Koechner starred in the 2016 drama Priceless, a film about human trafficking. He said of the role, "My wife and I have five kids — three of them are daughters. So, just to imagine the horror of any young lady having to go through this. This film is based on true events. It’s happening right now. It’s happening in Chicago. It’s happening here in Los Angeles. It’s happening globally. So, to be a participant in a film like this — to bring awareness to such a horror — makes me happy."
Koechner lives in Los Angeles with his wife Leigh; they have five children. Koechner has the names of his wife and children tattooed on his right upper-arm.
Koechner performs regularly in Los Angeles at both the ImprovOlympic West theater in the show Beer Shark Mice, and at Largo, the nightclub where the Naked Trucker Show plays regularly. David Koechner supported the 2004 US Presidential campaign of Senator John Kerry, performing at a June 6, 2004, Hollywood fundraiser for the senator, where The Naked Trucker & T-Bones opened up for Tenacious D. Koechner cites Lou Reed, Iggy Pop, The Replacements, Uncle Tupelo and its offshoots (Wilco and Son Volt) as some of his musical favorites. He also admires Creedence Clearwater Revival, whom he has described as "the American Beatles", although he downplayed his appreciation for them in an interview with Norm Macdonald.