Soon after leaving Saturday Night Live, Macdonald co-wrote and starred in the "revenge comedy" Dirty Work (1998), directed by Bob Saget and co-starring Artie Lange, Jack Warden, Don Rickles, Chevy Chase, Christopher McDonald, Traylor Howard, and Chris Farley (this would be Farley's last movie; the film was dedicated in his memory.) Later that year, Macdonald voiced the character of Lucky the dog in the Eddie Murphy adaptation of Dr. Dolittle. He reprised the role in both Dr. Dolittle 2 (2001) and Dr. Dolittle 3 (2006). Macdonald voiced the character of Death on an episode of Family Guy. Because of a conflict with his stand-up comedy schedule, he was unavailable to voice the character for his next appearance; Death has since been voiced by Adam Carolla. In 1999, Macdonald starred in the sitcom The Norm Show (later renamed Norm), co-starring Laurie Metcalf, Artie Lange and Ian Gomez. It ran for three seasons on ABC. Macdonald voiced Hardee's restaurants' (Carl's Jr. on the U.S. west coast) costumed mascot, the Hardee's star in advertisements. Macdonald appeared on several Miller Lite commercials that year. He appeared on the September 1999 Saturday Night Live primetime special celebrating the program's 25th year on the air. Macdonald was one of only three former Weekend Update anchors to introduce a retrospective on the segment (the others being Chevy Chase and Dennis Miller).

Macdonald returned to Saturday Night Live to host the October 23, 1999, show. In his opening monologue, he expressed resentment at having been fired, then concluded that the only reason he was asked to host was because "the show has gotten really bad" since he left,[14] echoing a perennial criticism of the show. The next episode, airing November 6, 1999, and hosted by Dylan McDermott, featured a sketch wherein Chris Kattan, as the androgynous character Mango, is opening letters from celebrity admirers and, after opening the last one, says "[The letter is from] Norm Macdonald—who is that?" Earlier in 1999, Macdonald made a cameo appearance in the Andy Kaufman biopic Man on the Moon. When Michael Richards refused to portray himself in the scene reenacting the famous Fridays incident in which Kaufman throws water in his face, Macdonald stepped in to play Richards, although he is never referred to by name.

In 2000, Macdonald starred in his second motion picture, Screwed, which, like Dirty Work, fared poorly at the box office.[citation needed]

On November 12, 2000, he appeared on the Celebrity Edition of Who Wants to Be a Millionaire?, winning $500,000 for Paul Newman's Charity Camp after he decided to walk away despite he knew the correct answer to the final question.[citation needed] Macdonald continued to make appearances on television shows and in films, including Deuce Bigalow: Male Gigolo, Deuce Bigalow: European Gigolo and The Animal, all of which starred fellow Saturday Night Live alumnus Rob Schneider and were produced by Adam Sandler. In 2003 he played the title character in the Fox sitcom A Minute with Stan Hooper, which was canceled after six episodes.

In 2005, Macdonald signed a deal with Comedy Central to create the sketch-comedy Back to Norm, which debuted that May. The pilot was never turned into a series. Its cold opening parodied the suicide of Budd Dwyer, a Pennsylvania politician who, facing decades of incarceration, committed suicide on live television in 1987. Rob Schneider appeared in the pilot. Later in 2005, Macdonald performed as a voice actor, portraying a genie named Norm, on two episodes of the cartoon series The Fairly Odd Parents. But he could not return for the third episode, "Fairy Idol", owing to a scheduling conflict. In 2006, Macdonald again performed as a voice actor, this time in a series of commercials for Canadian cellphone services provider Bell Mobility, as the voice of "Frank the Beaver". The campaign had a commercial tie-in with the 2006 Winter Olympics in Turin and with the 2006 Stanley Cup Playoffs. The ads ran heavily on CBC during the Olympics and throughout the National Hockey League's postseason. Due to its success, the campaign was extended throughout 2006 and 2007 and into 2008 to promote offerings from other Bell Canada divisions such as Bell Sympatico Internet provider and Bell TV satellite service.[15] In August 2008, the new management at Bell decided that they would go in a different direction with advertising, and would no longer be using the beavers.