He studied at the St. Josephs Boys' High School in Khadki, Pune. He passed his 10th grade in 1981. He did his Bachelors (Physics) from Mumbai University and his MBA from the Department of Management Sciences (PUMBA) at the University of Pune, graduating in 1988 with a major in Marketing.
Menon made his big screen debut with a small role in Naseem (1995), followed in 1999 by the lead role in Bhopal Express, a movie that went mostly unnoticed. This was the first in a series of initial setbacks in Menon's film career. In the early 2000s, he starred as a wicked rock musician in Anurag Kashyap's debut movie, Paanch, which struggled with censorship and has remained unreleased. Two other movies, Hazaaron Khwaishein Aisi and Black Friday, had to wait many years for a release date. Meanwhile, his commercial films Deewar (starring Amitabh Bachchan) and Silsiilay (with Shahrukh Khan) flopped at the box office. It was only in 2005, with the eventual release of the critically acclaimed Hazaaron Khwaishein Aisi, but most of all with Ram Gopal Varma's Sarkar, that Menon had his break. Sarkar earned him a nomination for the Best Performance in a Negative Role at the Filmfare Awards. In The Tribune, Saibal Chatterjee called him "one of Bollywood's finest actors".
In the early years of his career, Menon worked on television, with roles in the TV movies Zebra 2 and Last Train To Mahakali. He was praised for his role as a young Prime Minister in the Zee TV series Pradhan Mantri (2001), directed by Ketan Mehta. In The Hindu, Sevanti Ninan wrote, "an actor to watch: Kay Kay Menon ... this unusually tall actor who plays the pradhan mantri is a major saving grace" while in The Tribune, Amita Malik commented, "excellent acting by Menon, who skilfully conveys the physical as well as mental image of the honest politician".
In 2007, he acted in Life in a... Metro, as an adulterous husband. In 2008, he appeared in Shaurya based on A Few Good Men . His portryal of a ruthless army brigadier is still talked of among cinema lovers. In 2009, he starred in The Stoneman Murders where he played a police officer on the hunt for the Stoneman serial killer. He played the role of Dukki Bana in Gulaal.
His role as Khurram Mir in 2014's Haider bagged him a Filmfare award for Best Supporting Actor.
