In 2011, she appeared in Bridesmaids with Saturday Night Live colleague Kristen Wiig, and in 2013 she played a supporting role in The Way, Way Back as the girlfriend of Sam Rockwell's character.
She co-starred in the NBC sitcom Up All Night, with Christina Applegate and Will Arnett.
Rudolph was also able to play male characters such as Scott Joplin, Justin Guarini, and Mario Vazquez.
She also guest-starred as Rapunzel in the Dream Works animated film Shrek the Third.She guest-starred as Julia in The Simpsons episode "The Homer of Seville".She also appeared in two sketches in the 2008–09 season finale with Will Ferrell.She appeared in a Weekend Update Thursday sketch during the fall 2009–10 season as Oprah Winfrey speaking on behalf of Chicago's bid for the 2016 Olympics.She has lent her voice to the animated films Shrek the Third (2007) and Big Hero 6 (2014).
In addition to her film appearances, Rudolph starred as Ava Alexander on the NBC sitcom Up All Night from 2011 to 2012, and co-hosted her own variety show Maya & Marty.
In 2000, Rudolph became a cast member on the NBC television series Saturday Night Live and subsequently appeared in supporting roles in films such as 50 First Dates (2004) and A Prairie Home Companion (2006).
Since leaving Saturday Night Live in 2007, Rudolph has appeared in Grown Ups (2010), Bridesmaids (2011), Grown Ups 2 (2013) and Sisters (2015).
Rudolph guest-starred as character Athena Scooberman in NBC's Kath & Kim, and starred in the film Away We Go with The Office star John Krasinski.
In 2010, she appeared in Grown Ups starring Adam Sandler, where she played the wife of Chris Rock's character.
She appeared on The Good Place on NBC in 2018, an appearance that earned her an Emmy nomination for Outstanding Guest Actress in a Comedy Series.