McCarthy was born on August 26, 1970, in Plainfield, Illinois, a suburb of Chicago. Her parents are Sandra and Michael McCarthy. She is a cousin of actress and model Jenny McCarthy. McCarthy was raised on a farm in a large Catholic family. She is of mostly Irish descent, although she also has some German and English ancestry. Some of her forebears were from County Cork. She graduated from St. Francis Academy (now Joliet Catholic Academy) in Joliet, Illinois, and attended Southern Illinois University Carbondale.
Her career started with stand-up comedy in Los Angeles, and later in New York City. McCarthy is an alumna of The Groundlings, an improvisational and sketch comedy troupe based in Los Angeles, California. She also performed in New York City as a drag queen under the moniker Miss Y, including at the Wigstock festival.
