The day after he graduated from high school, Cross went to New York. Lacking a plan, he drifted around, working briefly for a lawn care company in Long Island, and later enrolled at Emerson College in Boston. He would drop out after only a semester, but during his time there he discovered his new favorite things: partying and sketch comedy. Cross joined This is Pathetic, a college sketch group, where he met John Ennis. In the summer of 1985, the two aspiring actors took a road trip to Los Angeles, although this did not significantly further their acting careers. In Boston, Cross began to perform stand-up more regularly. From the mid-1980s to the early 1990s, Boston had a booming comedy scene, although Cross did not fit the types of acts being booked most of the time. He recalls that it was "a loud, dumb, pandering, racist, homophobic type scene".
In 1990, a new comedy scene began to emerge at a small club called Catch a Rising Star. Cross—along with Janeane Garofalo, Louis C.K., and other comics—appeared regularly several nights a week. Cross formed the sketch comedy group "Cross Comedy" with twelve other performers, and they put on a new show every week. They were known for playing tricks on the audience, such as introducing fake comics or planting fake hecklers. Cross became increasingly focused on his comedy work.
Cross later co-starred as Tobias Fünke in Arrested Development, which was originally intended to be only a minor role. He has also played smaller roles on programs such as Just Shoot Me!, The Drew Carey Show, NewsRadio, Strangers with Candy, and Aqua Teen Hunger Force. Since October 2005, Cross has appeared on Comedy Central's The Colbert Report as Stephen Colbert's arch-nemesis, a fictional liberal radio talk show host from Madison, Wisconsin named "Russ Lieber". Cross also developed an animated series for Comedy Central called Freak Show, which costarred H. Jon Benjamin, and was canceled due to low ratings. He has appeared several times on the MTV2 series Wonder Showzen.
Cross teamed up with Odenkirk to produce a feature film, based on one of their Mr. Show characters, called Run Ronnie Run. The film satirized the reality television craze, and featured cameos from many stars. However, Cross and Odenkirk came into creative conflict with the director, Troy Miller, and after nearly two years of production, New Line Cinema sent it straight to DVD. In 1994 and again in 1999, Cross was a guest voice actor on Joe Frank's radio show, featured in the episodes "The Last Run", "A Hearing", "The O.J. Chronicles", and "Jam".
Cross continues to perform stand-up, in which he blends left-wing political commentary and satire. In 1999, he was given his own one-hour comedy special on HBO, entitled The Pride Is Back. He has released two recordings, Shut Up You Fucking Baby! and It's Not Funny. In 2004, Shut Up, You Fucking Baby! was nominated for the Grammy Award for Best Comedy Album. In 2003, he released his first tour film, Let America Laugh, and was named #85 on Comedy Central's list of the 100 greatest stand-ups of all time. He appears on Un-Cabaret compilation albums, including Freak Weather Feels Different and The Good, the Bad and the Drugly.
In 2004, Cross provided voices for a Marine in the Xbox game Halo 2, and a store clerk named Zero in Grand Theft Auto: San Andreas. He also was the voice of the violent, alcoholic "Happy-Time Harry" doll and Bert Banana in Aqua Teen Hunger Force (although the part was credited as Sir Willups Brightslymoore). He has also made guest appearances in the Adult Swim series Tim and Eric Awesome Show, Great Job!. He directed the music video for The Black Keys' song "10am Automatic", a spoof of public-access television.
In April 2005, Cross criticized stand-up comedian Larry the Cable Guy in a Rolling Stone interview, saying, "It's a lot of anti-gay, racist humor — which people like in America — all couched in 'I'm telling it like it is.' He's in the right place at the right time for that gee-shucks, proud-to-be-a-redneck, I'm-just-a-straight-shooter-multimillionaire-in-cutoff-flannel-selling-ring-tones act. That's where we are as a nation now. We're in a state of vague American values and anti-intellectual pride." In response, Larry devoted a chapter in his book GIT-R-DONE to Cross and the "P.C. left", claiming that Cross had "screwed with my fans, it was time for me to say something". Cross responded with An Open Letter to Larry the Cable Guy posted on his website. He continued to mock Larry in his stand-up, satirizing Blue Collar TV during a guest appearance on Wonder Showzen. In December 2005, he ended his performance on Comedy Central's Last Laugh '05 by mockingly yelling "GIT-R-DONE!" (Larry the Cable Guy's catch phrase) to the audience as he left the stage. He pokes fun at Larry's comedy in Freak Show with a character called "Danny the Plumber Guy".
Cross appeared in The Strokes' music video for "Juicebox" as a bad local "morning zoo" radio DJ. He also appeared in The New Pornographers' video for "Use It", in Superchunk's video for "Watery Hands" (along with Janeane Garofalo), and in Yo La Tengo's video for "Sugarcube" (along with Bob Odenkirk and John Ennis). Cross contributes to Vice magazine, writing a column titled "My America".
In 2005, he contributed to the UNICEF benefit song "Do They Know It's Hallowe'en?". In October 2005, he was sued by Nashville club owner Thomas Weber, who accused Cross of taping him without permission for Let America Laugh in violation of Weber's privacy rights. Weber established a website called werenotlaughing.com. In April 2006, the case against Cross himself was dismissed, leaving Weber to face Warner Music, Subpop Records, WEA Corporation, and the Alternative Distribution Alliance.
In the Beastie Boys' 2006 concert film Awesome; I Fuckin' Shot That!, Cross played the character Nathaniel Hörnblowér in the fictional segment "A Day in the Life of Nathaniel Hörnblowér". In the Bob Dylan film I'm Not There, Cross plays the role of Allen Ginsberg. Scrubs creator Bill Lawrence has stated that Cross may appear in the show as his Arrested Development character Tobias Fünke.
Cross provided commentary on the Vicarious music video DVD for the band Tool. He has previously performed comedy as an opening act for the band, and its members appeared on Mr. Show several times. He played Ian Hawke in the 2007 movie Alvin and the Chipmunks and Crane in the 2008 movie Kung Fu Panda.
Cross starred in a pilot for HBO called David's Situation which filmed in May 2008 and included many Mr. Show alumni at the taping. On August 6, 2008, Bob Odenkirk announced on bobanddavid.com that David's Situation would not be produced.
Cross has criticized Inside the Actors Studio host James Lipton, calling him "pretentious". Lipton would later appear alongside Cross in Arrested Development in the recurring role of Warden Stefan Gentles. On one commentary track for season four of Mr. Show, Cross discussed the encounter, complimenting Lipton for his professionalism and performance but maintaining his criticism of Lipton's show for its deification of celebrities (which was displayed earlier in The Pride Is Back).
He is currently dating Amber Tamblyn, an actress and poet who is 19 years younger.