It was at Goddard that he met the playwright David Mamet, who was only a couple of years older than he was. Macy later came to consider Mamet the greatest writer of our time. He moved to Chicago after graduating in 1971, and got a job as a bartender to pay the rent. Within a year he and Mamet, among others, founded the successful St. Nicholas Theater Company, where Macy originated roles in a number of Mamet's plays, such as American Buffalo and The Water Engine.
After spending some time in Los Angeles, he moved to New York in 1980. While living there he had roles in over fifty off-Broadway and Broadway plays.
He has appeared in films that Mamet wrote and/or directed, such as House of Games, Things Change, Homicide (his favorite role by Mamet), Oleanna, and more recently, Wag the Dog and State and Main.
He may be best known for his lead role in Fargo, in a role for which he was nominated for an Academy Award. His film work also includes Benny & Joon, Above Suspicion , Mr. Holland's Opus, Ghosts of Mississippi, Air Force One, Boogie Nights, Pleasantville, Gus Van Sant's remake of Psycho, Happy, Texas (set in the town of the same name), Mystery Men, Magnolia, Jurassic Park III, Panic, Seabiscuit, and The Cooler.
Macy has also had a number of roles on television. In 2003, he won two Emmy Awards, for the lead role and as co-writer of the made-for-TNT film Door to Door, a drama based on the true story of a door-to-door salesman in Portland, Oregon, born with cerebral palsy. Macy is particularly proud of the writing for that film; he turned the commercial-interrupted format of television into an advantage in the film, by breaking the story up into several uninterrupted stories.
His work on E.R and Sports Night has also been recognized with Emmy nominations.
In a November 2003 interview with USA Today, Macy said he wants to star in a big-budget action movie "for the money, for the security of a franchise like that."
He serves as director-in-residence at the Atlantic Theater Company in New York, where he teaches a technique called Practical Aesthetics. A book describing the technique, A Practical Handbook for the Actor (ISBN 0394744128), is dedicated to Macy and Mamet. He is married to actress Felicity Huffman, and has two daughters.