| SNL50: The Homecoming Concert (2025) As Self | (Not seen) |
| Riff Raff (2024) As Lefty | (Not seen) |
| Ghostbusters: Frozen Empire (2024) As Dr. Peter Venkman | (Not seen) |
| Ant-Man and the Wasp: Quantumania (2023) As Krylar | (Not seen) |
| The Greatest Beer Run Ever (2022) As The Colonel | (Not seen) |
| Ghostbusters: Afterlife (2021) As Dr. Peter Venkman | (Not seen) |
| The French Dispatch (2021) As Arthur Howitzer, Jr. | (Not seen) |
| On the Rocks (2020) As Felix | (Not seen) |
| The Dead Don't Die (2019) As Chief Cliff Robertson | (Not seen) |
| Zombieland: Double Tap (2019) As Bill Murray | (Not seen) |
| Isle of Dogs (2018) As Boss (voice) | (Not seen) |
| Ghostbusters (2016) (AKA "Ghostbusters: Answer the Call") As Martin Heiss | (Not seen) |
| The Jungle Book (2016) As Baloo (voice) | (Not seen) |
| Aloha (2015) As Carson Welch | (Not seen) |
| Dumb and Dumber To (2014) (AKA "Dumb and Dumber 2") As Ice Pick | (Not seen) |
| St. Vincent (2014) As Vincent MacKenna | (Not seen) |
| The Grand Budapest Hotel (2014) As Monsieur Ivan | (Not seen) |
| The Monuments Men (2014) As Sgt. Richard Campbell | (Not seen) |
| A Glimpse Inside the Mind of Charles Swan III (2012) As Saul | (Not seen) |
| Hyde Park on Hudson (2012) As Franklin D. Roosevelt | (Not seen) |
| Moonrise Kingdom (2012) As Mr. Bishop | (Not seen) |
| Passion Play (2010) As Happy Shannon | (Not seen) |
| Fantastic Mr. Fox (2009) As Clive Badger (voice) | (Not seen) |
| The Limits of Control (2009) (AKA "No Limtis No Control") As American | (Not seen) |
| Zombieland (2009) As Bill Murray | (Not seen) |
| City of Ember (2008) As Mayor Cole | (Not seen) |
| Get Smart (2008) As Agent 13 | (Not seen) |
| Saturday Night Live in the '90s: Pop Culture Nation (2007) | (Not seen) |
| The Darjeeling Limited (2007) As The Businessman | (Not seen) |
| Garfield: A Tail of Two Kitties (2006) (AKA "Garfield 2") As Garfield (voice) | (Not seen) |
| Saturday Night Live in the '80s: Lost & Found (2005) (AKA "Saturday Night Live in the '80s: Lost and Found") | (Not seen) |
| The Lost City (2005) As spisovateľ | (Not seen) |
| Broken Flowers (2005) As Don Johnston | (Not seen) |
| Garfield (2004) (AKA "Garfield: The Movie") As Garfield (voice) | (Not seen) |
| The Life Aquatic with Steve Zissou (2004) (AKA "The Life Aquatic") As Steve Zissou | (Not seen) |
| Coffee and Cigarettes (2003) (AKA "Coffee & Cigarettes") As Bill Murray | (Not seen) |
| Lost in Translation (2003) As Bob Harris | (Not seen) |
| Speaking of Sex (2001) As Ezri Stovall | (Not seen) |
| Osmosis Jones (2001) As Frank Detorre | (Not seen) |
| The Royal Tenenbaums (2001) As Raleigh St. Clair | (Not seen) |
| Charlie's Angels (2000) (AKA "3 Engel fur Charlie") As John Bosley | (Not seen) |
| Cradle Will Rock (1999) As Tommy Crickshaw | (Not seen) |
| Rushmore (1998) As Herman Blume | (Not seen) |
| Wild Things (1998) (AKA "Sex Crimes") As Kenneth Bowden | (Not seen) |
| The Man Who Knew Too Little (1997) (AKA "Agent Null Null Nix") As Wallace 'Wally' Ritchie | (Not seen) |
| Larger Than Life (1996) (AKA "Large as Life") As Jack Corcoran | (Not seen) |
| Kingpin (1996) As Ernie McCracken | (Not seen) |
| Space Jam (1996) As Self | (Not seen) |
| Ed Wood (1994) As Bunny Breckinridge | (Not seen) |
| Mad Dog and Glory (1993) As Frank Milo | (Not seen) |
| Groundhog Day (1993) As Phil Connors | (Not seen) |
| What About Bob? (1991) As Bob Wiley | (Not seen) |
| Quick Change (1990) As Grimm | (Not seen) |
| Ghostbusters II (1989) (AKA "Ghostbusters 2") As Dr. Peter Venkman | (Not seen) |
| Scrooged (1988) As Francis Xavier Cross | (Not seen) |
| Little Shop of Horrors (1986) As Arthur Denton | (Not seen) |
| Ghostbusters (1984) As Dr. Peter Venkman | (Not seen) |
| Tootsie (1982) (AKA "Would I Lie to You?") As Jeff Slater | (Not seen) |
| Stripes (1981) As John Winger | (Not seen) |
| Caddyshack (1980) As Carl Spackler | (Not seen) |
| Meatballs (1979) (AKA "Arrete de ramer, t'es sur le sable") As Triipper Harrison | (Not seen) |
| Next Stop, Greenwich Village (1976) As Nick Kessel (uncredited) | (Not seen) |