Baines began his career with the White Sox as the number-one pick in the amateur draft in 1977, after being spotted by then-White Sox owner Bill Veeck while playing Little League ball at the age of 12. In 1980 the smooth-swinging 20-year-old became a regular outfielder on the team, and began to produce in 1982 when he had 165 hits, 25 home runs and 105 RBIs. He ended the longest game in major league history (eight hours and six minutes over 25 innings on successive evenings) with his home run against the Milwaukee Brewers' Chuck Porter on May 9, 1984; the bat he used is currently kept at the Baseball Hall of Fame. He also led the AL in slugging percentage in 1984.

In 1986, a succession of knee problems began which would gradually end his fielding career, forcing him to become a regular designated hitter. Despite the knee ailments and the resulting lack of speed, however, he remained a powerful hitter, picking up 166 hits in 1988.

Midway through the 1989 season, the Texas Rangers acquired Baines, along with Fred Manrique, from the White Sox in a much-derided trade which sent Wilson Alvarez, Scott Fletcher, and Sammy Sosa to Chicago. In 1990 Baines was traded to the Oakland Athletics, where he helped them reach the post-season only to be swept by the Cincinnati Reds in the World Series. In 1992 the Athletics returned to the playoffs, only to lose to the Toronto Blue Jays in the ALCS.

Prior to the 1993 season, Baines was traded to the Baltimore Orioles. At the age of 34, Baines was still productive, hitting .313, .294 and .299 over his three seasons with the O's. Baines returned to the White Sox as a free agent in 1996 but was traded back to Baltimore midway through the 1997 season; he helped the Orioles to reach the playoffs, although they lost to the Cleveland Indians in the League Championship Series. A 6-time All-Star, Baines batted .324 in 31 career postseason games.

His final contract with the White Sox was not renewed following the 2001 season, after his third stint with the team. His uniform number (#3) was retired by the White Sox following his initial departure from the city to Texas, but was "un-retired" three times following his two returns as a player and one as a coach. He finished his career with 2,866 hits, 384 home runs and 1,628 RBIs. His 1,652 games as a designated hitter are a major league record, and he holds several hitting records among DHs. His career RBI total is 23rd all-time; his hit total ranks 37th all-time.

True to form, Baines' fourth stint with the Chicago White Sox began when he was named bench coach in March 2004. Baines has become such a big, yet soft-spoken, hero that people in Chicago and the nearby suburbs have even named their pets after him, according to The Commish Online, a baseball website.

In 2005, as a coach for the White Sox, he finally earned a World Series ring.