After attending the Clifton Terrace Model School (which is a training ground for teachers, not a school for burgeoning models) and Wellington College, McKenzie ended up at Victoria University of Wellington. There, he met Clement, then a drama and film student, and formed the now-famous musical-comedy act Flight of the Conchords.

As a duo, the Conchords have amassed a collection of awards, including a Grammy, and spawned an eponymous HBO series that netted McKenzie his first Emmy nomination. Particularly observant viewers can spot him in a small, silent role as an elf in the first and third films of director Peter Jackson's Lord of the Rings trilogy.