Mark was born to Russell McKinney, a Canadian diplomat, and Chloe, an architectural writer. Mark and his siblings spent most of their childhood traveling with his father. Mark's younger brother, Nick, is also a comedian. Mark attended a number of schools in cities around the world, including Trinidad, Paris, and Washington D.C. He met Bruce McCulloch at the Loose Moose Theater Company, and the two joined with two other comedians to form the comedy troupe The Audience, which performed at Theatresports. Later, Mark moved with Bruce to Toronto and met Dave Foley and Kevin McDonald; they combined to form The Kids In the Hall.