| 2025 | On a Mission from God: The Story of the Blues Brothers | Self |
| I'm Chevy Chase and You're Not | Self |
| You Had to Be There: How the Toronto Godspell Ignited the Comedy Revolution... | Self |
| John Candy: I Like Me | Self - Mainstage Cast, The Second City |
| Ladies & Gentlemen... 50 Years of SNL Music | Self (archive footage) |
| 2024 | Jim Henson Idea Man | Self (archive footage) |
| Biệt Đội Săn Ma: Kỷ Nguyên Băng Giá | Ray Stantz |
| Đêm nhạc Pop lịch sử | Self (archive footage) |
| 2023 | Zombie Town | Len Carver |
| 2022 | 2022 Rock & Roll Hall of Fame Induction Ceremony | Self (archive footage) |
| 2021 | Biệt Đội Săn Ma: Chuyển Kiếp | Ray Stantz |
| Who Saw the Men in Black | self |
| The Go-Go's | Self (archive footage) (uncredited) |
| 2020 | Belushi | Self (archive footage) |
| Cleanin' Up the Town: Remembering Ghostbusters | Self |
| 2019 | Le Fantastique Mr Murray | Self - Interviewee |
| Defend, Conserve, Protect | Narrator |
| Chris Farley: Anything for a Laugh | Self |
| 2016 | Good Fortune | Self |
| Biệt Đội Săn Ma | Cabbie |
| Ghostheads | Self |
| 2015 | Being Canadian | Self |
| I Am Chris Farley | Self |
| Đại Chiến Pixels | 1982 Championship MC |
| 2014 | Time Is But a Window: Ghostbusters 2 and Beyond | — |
| Who You Gonna Call?: A Ghostbusters Retrospective | — |
| Get On Up | Ben Bart |
| Tammy | Don |
| Huyền Thoại Xứ Oz: Dorothy Trở Lại | Scarecrow (voice) |
| 2013 | Saturday Night Live: Thanksgiving | Rick Phillips |
| Behind the Candelabra | Seymour Heller |
| Born In Chicago | Narrator |
| Tales from the Warner Bros. Lot | Self |
| WWII: Saving the Reality | Self - Narrator (voice) |
| 2012 | The Campaign | Wade Motch |
| Sunset Strip | Self |
| 2010 | Gấu Yogi | Yogi Bear (voice) |
| The Women of SNL | Various (archive footage) |
| Presidential Reunion | Jimmy Carter |
| 2009 | Julie và Julia | Self (archive footage) (uncredited) |
| 2008 | War, Inc. | Mr. Vice President |
| 2007 | Shortcut to Happiness | Julius Jensen |
| Đám Cưới Bất Đắc Dĩ | Captain Tucker |
| Saturday Night Live in the '90s: Pop Culture Nation | Self |
| 2006 | Working with a Master: John Landis | Self |
| 2005 | Saturday Night Live: The Best of Dan Aykroyd | Various Characters (archive footage) |
| The Blues Brothers: Transposing The Music | Self |
| Just the Two of Us | Self |
| Saturday Night Live: The Best of John Belushi | Self / Various (archive footage) (uncredited) |
| Dan Aykroyd Unplugged On UFOs | Self |
| Life O' The Party: On the Road with Prince and the New Power Generation | Self |
| Live from New York: The First 5 Years of Saturday Night Live | Self |
| 2004 | Christmas with the Kranks | Vic Frohmeyer |
| Ronnie Hawkins: Still Alive and Kickin | Narrator |
| Intern Academy | Dr. Cyrill Kipp |
| 50 Lần Hẹn Đầu Tiên | Dr. Keats |
| 2003 | James Brown: Soul Survivor | — |
| Bright Young Things | Lord Monomark |
| Toronto Rocks | Self |
| The Making of ‘Sneakers’ | Self |
| 2002 | Unconditional Love | Max Beasley |
| Bước Ngoặt Đầu Đời | Pete Wagner |
| 2001 | On the Nose | Dr. Barry Davis |
| Earth vs. the Spider | Det. Insp. Jack Grillo |
| The Curse of the Jade Scorpion | Chris Magruder |
| Evolution | Governor Lewis |
| Trân Châu Cảng | Captain Thurman |
| 2000 | The House of Mirth | Augustus 'Gus' Trenor |
| Stardom | Barry Levine |
| Loser | Dad |
| 1999 | Diamonds | Lance Agensky |
| Saturday Night Live: Christmas | Self |
| Ghostbusters 1999 | Self |
| Saturday Night Live: The Best of Dana Carvey | — |
| Saturday Night Live: 25th Anniversary Special | Self |
| Tales from the Crypt: The Robert Zemeckis Collection | Captain Milligan |
| 1998 | Susan's Plan | Bob |
| Kiến Trúc Sư | Chip (voice) |
| The Stories Behind the Making of 'The Blues Brothers' | Self |
| Blues Brothers 2000 | Elwood Blues |
| Roswell Top Secret | Self |
| 1997 | Grosse Pointe Blank | Grocer |
| The Arrow | Crawford Gordon Jr. |
| Heritage Minutes: Avro Arrow | Crawford Gordon |
| 1996 | My Fellow Americans | President William Haney |
| Feeling Minnesota | Det. Ben Costikyan |
| Rainbow | Sheriff Wyatt Hampton |
| Celtic Pride | Jimmy Flaherty |
| Getting Away with Murder | Jack Lambert |
| Sgt. Bilko | COL John T. Hall |
| 1995 | Canadian Bacon | OPP Officer (uncredited) |
| Con Ma Thân Thiện | Dr. Raymond Stantz (uncredited) |
| Tommy Boy | Ray Zalinsky |
| The Random Factor | Dexter (voice) |
| 1994 | Exit to Eden | Fred Lavery |
| The Best of the Blues Brothers | Elwood Blues / Self |
| North | Pa Tex |
| My Girl 2 | Harry Sultenfuss |
| A Century of Cinema | Self |
| 1993 | Coneheads | Beldar |
| 1992 | Chaplin | Mack Sennett |
| Những Kẻ Đột Nhập | Mother |
| This Is My Life | Arnold Moss |
| Two-Fisted Tales | Captain Miligan |
| 1991 | Cô Gái Của Tôi | Harry Sultenfuss |
| Nothing But Trouble | Judge Alvin 'J.P' Valkenheiser / Bobo |
| 1990 | Seriously... Phil Collins | Self |
| Masters of Menace | Johnny Lewis |
| The Earth Day Special | Vic's Buddy |
| Life of Python | Self |
| Loose Cannons | Ellis Fielding |
| 1989 | Lái Xe Cho Cô Daisy | Boolie Werthan |
| Saturday Night Live: 15th Anniversary | Self |
| Biệt Đội Săn Ma 2 | Ray Stantz |
| Mel Gibson's Unauthorized Video Diary | Self |
| 1988 | My Stepmother Is an Alien | Steven Mills |
| Caddyshack II | Captain Tom Everett |
| The Great Outdoors | Roman Craig |
| She's Having a Baby | Roman (uncredited) |
| The Couch Trip | John W. Burns, Jr. |
| 1987 | Dragnet | Sgt. Joe Friday |
| Citizen Steve | Chial Dushane |
| 1985 | Spies Like Us | Austin Millbarge |
| The Best of John Belushi | Various Characters |
| Into the Night | Herb |
| We Are the World: The Story Behind the Song | Self |
| B.B. King: Into the Night | Self |
| 1984 | On the Scene with the Ghostbusters | — |
| Nothing Lasts Forever | Buck Heller |
| Biệt Đội Săn Ma | Ray Stantz |
| Indiana Jones và Ngôi Đền Tàn Khốc | Art Weber |
| 1983 | The Coneheads | Beldar (voice) |
| Twilight Zone: The Movie | Passenger |
| Trading Places | Louis Winthorpe III |
| Doctor Detroit | Clifford Skridlow / Doctor Detroit |
| 1982 | E.T. and Friends: Magical Movie Visitors | Beldar Conehead |
| It Came from Hollywood | Self |
| 1981 | Neighbors | Vic |
| Steve Martin's Best Show Ever | Yortuk Festrunk / Irwin Mainway / Alexander Haig / Dr. Treves |
| 1980 | Tình Anh Em | Elwood Blues |
| 1979 | 1941 | Sgt. Frank Tree |
| Mr. Mike's Mondo Video | Church of Jack Lord Leader / Self |
| 1978 | The Blues Brothers Live at Winterland | Elwood Blues |
| Grateful Dead: The Closing of Winterland | Self |
| The Things We Did Last Summer | Self |
| The Rutles: All You Need Is Cash | Brian Thigh |
| 1977 | Love at First Sight | Roy |
| 1976 | The Beach Boys: It's OK | Cop #1 |
| The Beach Boys: It's OK | Cop #1 |
| 1974 | The Gift of Winter | Goodly / Rotten / Maple (voice) |