Nealon was born in St. Louis, Missouri, the son of Kathleen M. (née Kimball) and Emmett F. Nealon, an aircraft company executive. A few months after he was born, the family moved to Bridgeport, Connecticut. He was raised Catholic, and graduated from St. Joseph High School in Trumbull, Connecticut, in 1971. 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). Nealon then took some night courses at Fairfield University, where he became the starting quarterback for the school's football team.
Nealon debuted on network television doing a stand-up routine for The Tonight Show Starring Johnny Carson in 1984. On the September 24, 1985 nighttime syndicated episode of Sale of the Century, Nealon can be seen onstage congratulating his friend Tim Holleran on winning more than $150,000 in cash and prizes. 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 he ended each edition with "I'm Kevin Nealon, and that's news to me"), and many others.
In 1991, he starred in the Christmas 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 also had an ongoing supporting role as Doug Wilson on the show Weeds on Showtime.
In 1994, Nealon hosted the 13 part series Amazing America on the Discovery Channel.
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.
Nealon played Stuart Pearson in the adventure comedy Aliens in the Attic. Shooting took place in Auckland, New Zealand.
Nealon currently portrays Captain Telstar in the Charter Spectrum commercials.
Nealon married actress Susan Yeagley on September 3, 2005 in Bellagio, Italy. Yeagley gave birth to their first child, son Gable Ness Nealon, on January 29, 2007 in Santa Monica, California.
Nealon played rugby for Connecticut Yankees RFC.
On February 22, 2006, 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. 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.
He is a vegetarian because of concerns about animal cruelty and for health reasons. He lives in the Los Angeles area.
He is an avid golfer and poker player and also plays banjo and guitar. He also claims to be fluent in German, having lived in Germany for four years.
Nealon and his former wife Linda Dupree (who played one of the mud wrestlers fighting John Candy in Stripes) had been active in the animal rights movement, supporting the Amanda Foundation, Farm Sanctuary, the Washington Wildlife Protection Association, The Ark Trust's Genesis Awards, PETA and also Meat Out.
In 2001, Nealon played on Who Wants to Be a Millionaire for his charity. The final question he faced, worth $125,000, was about Barbie dolls. He used his Phone-A-Friend and 50:50, but he answered the question incorrectly, thus losing $32,000 of $64,000 he had, and ended up walking away with $32,000 for his charity.