| SNL50: The Homecoming Concert (2025)As Self | (Not seen) |
| The Friend (2024)As Walter | (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) |