Nallon, a graduate of the University of Birmingham, began his career as a stand-up performer on the northern club circuit, before joining the Spitting Image team in 1984. He continues to perform in the guise of Baroness Thatcher, but combines impressions with other types of work, including writing and performing in the Radio 4 comedy series, The Nallon Tapes.
In late 2003, he starred in Steve Nallon's Christmas Carol, a theatrical adaptation of Charles Dickens' A Christmas Carol, at the Birmingham Rep, England.