Koechner was born in Tipton, Missouri, to Margaret Ann (née Downey) and Cecil Stephen Koechner. He has two brothers, Mark and Joe, and three sisters, Mary-Rose, Cecilia and Joan. His father ran a Business that manufactured Turkey coops (Koechner has stated that "If you see a Turkey going down the road in a big truck, most likely its coop is from Tipton..."). He was raised Catholic, and is of German, English, and Irish descent. Koechner studied Political Science at Benedictine College and the University of Missouri, before he eventually decided to pursue a career in improvisational comedy and moved to Chicago. After studying at Chicago's ImprovOlympic, under famed improvisation instructor Del Close, Koechner joined The Second City comedy troupe in Chicago, graduating in 1994.