McKay has produced the TV series Big Lake and Succession, whose pilot he directed, and the miniseries The Spoils of Babylon, and The Chris Gethard Show. In April 2019, McKay and Ferrell announced that they were separating as producing partners but would continue producing all projects currently in development or in production at Gary Sanchez Productions. In 2019, McKay launched a new production company, Hyperobject Industries, which has a first look overall TV deal with HBO and a first look feature deal at Paramount Pictures. Hyperobject Industries' first TV project was an HBO pilot based on Jeff Pearlman's non-fiction book 'Showtime: Magic, Kareem, Riley and the Los Angeles Lakers Dynasty of the 1980s.' McKay directed the pilot. More recently, McKay's Hyperobject Industries has a first look deal with Apple. Directing McKay has directed, and co-written with Will Ferrell, the films Anchorman: The Legend of Ron Burgundy (2004), Talladega Nights: The Ballad of Ricky Bobby (2006), Step Brothers (2008), The Other Guys (2010), and Anchorman 2: The Legend Continues (2013). He has directed an "alternate film" about Ron Burgundy that is considered a companion to Anchorman: The Legend of Ron Burgundy (2004) entitled Wake Up, Ron Burgundy: The Lost Movie (2004), which is made up mostly of alternative takes, deleted scenes, and scrapped sub-plots from the original film strung together with a narrative. McKay directed and co-wrote with Ferrell the George W. Bush Broadway show You're Welcome America. He produced the horror-action film Hansel & Gretel: Witch Hunters. McKay directed the TV movie documentary Lifecasters (2013). He has directed a number of short films, including digital shorts for Saturday Night Live, and the short video "Good Cop, Baby Cop" for Funny or Die that stars his daughter Pearl. Among the other short films he has directed include The Procedure (2007) starring Will Ferrell, Willem Dafoe, and Andy Richter, Green Team (2008) starring Ferrell, John C. Reilly, and himself, and the K-Swiss commercial, Kenny Powers: The K-Swiss MFCEO (2011), starring Danny McBride as Kenny Powers from Eastbound & Down, which he co-produces with Ferrell and has also directed an episode of. He directed and wrote the film adaptation of the Michael Lewis non-fiction book The Big Short, released in 2015. He received a nomination for the Academy Award for Best Director and the Academy Award for Best Adapted Screenplay for his work in the film, winning his first Academy Award in the