In 2002 Mikey graduated from UCLA with a Bachelor's degree in Theatre. He was a student at Groundlings school and a member of the school's improv troupe in Los Angeles. He performed at the ImprovOlympic in Hollywood for three months. Day made a guest appearance on The WB's series Angel in 2004. He had appeared on MTV's reality series Faking The Video. He also appeared on an episode of the improv comedy series World Cup Comedy. Then Day hired for MTV's improv comedy series Wild 'N Out. To the addition of "Wild 'N Out", Day appears in a sketch comedy series called "The Underground" on Showtime.