Cross was born in Atlanta, Georgia, the son of Susi, a computer retailer. Six months later, Cross's family moved to Florida. After additional moves to New York and Connecticut, the family settled back in Atlanta, where Cross remained for nearly a decade.
He attended Northside High School of the Performing Arts (now North Atlanta High School), from which he graduated in 1982.
Cross was elected treasurer of his senior class and was voted "Most Humorous" by his classmates.
He began performing stand-up comedy at 17.
The day after he graduated from high school, Cross went to New York. Lacking a plan, he drifted around, working briefly for a lawn care company in Long Island, and later enrolled at Emerson College in Boston. He would drop out after only a semester, but during his time there he discovered his new favorite things: partying and sketch comedy. Cross joined This is Pathetic, a college sketch group, where he met John Ennis.
In the summer of 1985, the two aspiring actors took a road trip to Los Angeles, although this did not significantly further their acting careers.
In Boston, Cross began to perform stand-up more regularly. From the mid-1980s to the early 1990s, Boston had a booming comedy scene, although Cross did not fit the types of acts being booked most of the time. He recalls that it was "a loud, dumb, pandering, racist, homophobic type scene".
Cross began his professional television career as a writer on The Ben Stiller Show. The short-lived Fox Network series hired him toward the end of its run, and he occasionally made brief appearances in the sketches. He had a speaking role in "The Legend of T.J. O'Pootertoot", a sketch written almost entirely by Cross. It was during this period that he first met Bob Odenkirk, with whom he would later co-create the HBO sketch comedy series Mr. Show in 1995.
Cross won an Emmy for his work on The Ben Stiller Show in 1993.
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