For Disney, he portrayed Steve Zissou in 2004 Touchstone Pictures film, The Life Aquatic with Steve Zissou, Herman Blume in Rushmore, Tommy Crickshaw in Cradle Will Rock, Bunny Breckinridge in Ed Wood, and Bob "Bobby" Wiley in What About Bob?. He also voiced Baloo in the 2016 live-action adaptation of The Jungle Book, as well as performed a new version of "The Bare Necessities". Additionally, he was mentioned in The Muppets episode "A Tail of Two Piggies". He currently has an undisclosed role in the upcoming Disney/Fox Seachlight film, The French Dispatch.
- He was considered for the role of Wayne Szalinski in Honey, I Shrunk the Kids. Amusingly enough, it was his idea to cast his fellow Ghostbusters alumni Rick Moranis for the role instead.
- He was one of several actors considered for the role of Buzz in Toy Story, along with Billy Crystal, Jim Carrey, and Chevy Chase. However, Tim Allen was cast at the end.
- He was also considered for the role of Sulley in Monsters, Inc.. However, John Goodman was cast at the end.
- He was originally considered for the role of Eddie Valiant in Who Framed Roger Rabbit along with several other actors, but he missed out on it, due to his method of receiving offers for roles. The regret he felt from missing the opportunity would lead to him taking on a cameo role in the Warner Brothers film Space Jam.
- He was also considered for the role of Pacha in The Emperor's New Groove. However, John Goodman was cast at the end.
- He was also considered for the role of Obi-Wan Kenobi in Star Wars: The Phantom Menace. However, Ewan McGregor was cast at the end.
- He was also considered for the role of Captain Jack Sparrow in Disney's Pirates of the Caribbean: The Curse of the Black Pearl. However, Johnny Depp was cast at the end.
- He was the second member of his family to voice Baloo, after his brother Brian Doyle-Murray voiced Baloo in The Jungle Book: Mowgli's Story.