He began his career as a member of the sketch comedy troupe The State. The group had their own TV show on MTV from 1993 to 1995, The State, for which Wain directed many of the sketches. He is also a member of the comedy trio Stella, along with two other members of The State who were also involved in Wet Hot American Summer, Michael Ian Black and Michael Showalter. The three wrote and starred in short films or skits called the Stella shorts, as well as the 2005 TV series Stella.
In 1988 while attending NYUfilm school, Wain became a founding member of the sketch comedy group The New Group. This group later came to be known as The State, and in 1993 he and his fellow members created and starred in The State, a sketch show that lasted 26 episodes on MTV. Wain and Michael Patrick Jann directed most of the show's sketches.
His second feature film The Ten, starring Winona Ryder and Paul Rudd (and a large ensemble cast of well-known actors), had a short theatrical run and was released on DVD on January 15, 2008.
Wain starred in a web series titled Wainy Days on the website My Damn Channel, which ran for five seasons and ended in January 2012. The series follows a fictionalized version of Wain through his everyday life as he tries to romance numerous women and discusses his problems with his friends at the sweatshop where he works. Elizabeth Banks, Jonah Hill, Jason Sudeikis, Rob Corddry, Thomas Lennon, Josh Charles, Paul Rudd, and Michael Ian Black, and various other Stella, The State and Wet Hot American Summer alumni have all guest-starred in various episodes. The recurring cast included A.D. Miles, Matt Ballard and Zandy Hartig, who was instrumental in the creation of the series.
As one third of the comedy troupe Stella, Wain has co-hosted the long running nightclub show in New York City, toured the United States and made a series of shorts with the group, and eventually help create a 2005 series on Comedy Central based on their routines.