Cross began his professional television career as a writer on The Ben Stiller Show. The short-lived Fox Network series hired him toward the end of its run, and he occasionally made brief appearances in the sketches. He had a speaking role in "The Legend of T.J. O'Pootertoot", a sketch written almost entirely by Cross. It was during this period that he first met Bob Odenkirk, with whom he would later co-create the HBO sketch comedy series Mr. Show in 1995. Cross won an Emmy for his work on The Ben Stiller Show in 1993.
Cross later co-starred as Tobias Fünke in Arrested Development, which was originally intended to be only a minor role. He has also played smaller roles on programs such as Just Shoot Me!, The Drew Carey Show, NewsRadio, Strangers with Candy, Tim and Eric Awesome Show, Great Job, and Aqua Teen Hunger Force. Since October 2005, Cross has appeared on Comedy Central's The Colbert Report as Stephen Colbert's arch-nemesis, a fictional liberal radio talk show host from Madison, Wisconsin named "Russ Lieber". Cross also developed an animated series for Comedy Central called Freak Show, which co-starred H. Jon Benjamin, and was canceled due to low ratings. He has appeared several times on the MTV2 series Wonder Showzen.
He will be starring in a new television comedy sketch show called W/ Bob and David with co-star Bob Odenkirk premiering November 2015 on Netflix.