Odenkirk is best known as the co-creator of the HBO sketch comedy series, Mr. Show. He began his foray into comedy writing as a radio DJ for WIDB, his local college station at Southern Illinois University Carbondale. Inspired by his local success, he decided to go to Chicago and, under the pretense of doing a radio-show interview, speak with members of Second City and see what it took to make a career in performing and writing comedy. While in Chicago, he ran into former Second City director Del Close (who had mentored the likes of Bill Murray and John Belushi) at a bookstore. Odenkirk nervously struck up a conversation with Close and asked if he would mind being interviewed. He agreed and they went back to Close's apartment, where their conversation inspired Odenkirk to seek work as a comedian.

Odenkirk immediately moved to Chicago three credits shy of graduation and got involved in the local improv and comedy scene. He started in improv workshops and doing open-mike stand-up comedy and after a few years had made several friends as a result - most importantly future Saturday Night Live writer Robert Smigel. It was through his friendship with Smigel he began submitting his work to SNL, and was eventually hired as a writer. He wrote such memorable characters as Matt Foley, Motivational Speaker. He was initially elated to be working for SNL, but after a while he became more and more frustrated with the politics of the show and rarely got any of his work on air.

While on a writers' strike from Saturday Night Live following the 1987-1988 season, Odenkirk was part of an improvisational comedy revue in Chicago with fellow SNL writers Robert Smigel and Conan O'Brien called Happy Happy Good Show.

Odenkirk decided to leave SNL and try working in Los Angeles. Around this time, he visited his friend Steve Meisner, who informed him that the TV show Get a Life was looking for writers. Odenkirk submitted some material and was accepted onto the show. Though Get a Life was cancelled fairly quickly, he made several important friends on the show who later helped him get a job writing for The Dennis Miller Show. There, he made his acting debut, and was noticed by Ben Stiller, who later hired him as a writer and actor for The Ben Stiller Show. While working on Ben Stiller, Odenkirk met fellow writer David Cross, and after The Ben Stiller Show was cancelled, Odenkirk and Cross began performing in sketch-comedy shows together in LA. These sketch comedy shows eventually evolved into what became Mr. Show. Odenkirk and Cross also guest-starred on Space Ghost Coast to Coast.

Odenkirk was the spokesperson for Miller beer in their electoral-themed commercial campaign to become "The President of Beers" during the 2004 Elections. He is also the executive producer of Adult Swim's Tom Goes to the Mayor.

His brother, Bill Odenkirk, wrote for Mr. Show and Futurama. He currently writes for The Simpsons.