It's her first starring film role, and as one of Saturday Night Live's "most beloved cast members", the Emmy-nominated 32-year-old is primed for crossover success.
Lorne Michaels recalls McKinnon's audition for SNL, before joining the cast in 2012. "I looked at her and I just went, 'Oh. Right.' Sometimes people arrive and they're ready. She is an impressive talent."
She is also, like her latest character, an oddball. In conversation, McKinnon alternates between intense eye contact and aimless roving gazes.
"She's kooky," says Amanda Bearse, who directed the actor in her first big break in The Big Gay Sketch Show, which ran on Logo from 2006 to 2010.
During an interview with McKinnon, she casually pulled two sections of false hair from her coif, placed them beside her, leaned toward the microphone and said, "Let the record show that she begins to remove her hair extensions."
It is this charm that caught the eye of Ghostbusters director Paul Feig. He and screenwriter Katie Dippold were halfway through the script when he invited McKinnon to discuss the role of Holtzmann, the squad's socially awkward but unflaggingly confident gearhead.
"She's perfect," Feig recalls thinking afterward. So he tailored the role to her, in part via an improvised interview with McKinnon in character.
"It was an hour of asking her questions about her life as Holtzmann," Feig says. "We came up with this weird backstory: She had gone off and lived in Tibet when she was 12, and then she was living with gypsies. I'm going to put some of it on the DVD."
When Holtzmann first appears onscreen, she ignites a hand torch next her face. Later, just because she can, she smashes a guitar. Then, during elaborate paranormal combat, she wields a variety of weapons she invented herself.
McKinnon never aspired to be an action hero. Her ideal would be "a brain in a jar, with a burlap skirt around the cart I'm on - I don't attend to my physical being much ... But there was a sense of power once I embraced it."
In person, she is subdued but no less powerful.
"I like to connect with people and suss them out. There's no better way than seeing how they react if you just bear into them."
She approaches her SNL characters similarly. "I can't do impressions of people I can't relate to," she says. "It has to come from a place of understanding and celebration."
Among her collection are Angela Merkel, Ruth Bader Ginsburg and Keith Urban.
But the comedian is most known for her take on Hillary Clinton as a woman who is at turns playful and stern, who means well but is desperate with ambition. "It was clear she had a way of doing Hillary that was fresh," Michaels says.
"A lot of it comes from Kate's feelings about her," adds SNL writing supervisor Sarah Schneider, who pens the Clinton sketches with co-writer Chris Kelly and McKinnon.
"She's a supporter. ... Kate is the same strong but flawed woman."
In this past season's premiere, the real Clinton appeared alongside her doppelganger. "I felt so connected to her," McKinnon says.
McKinnon grew up on Long Island watching Mel Brooks movies in a home that honoured comedy. She studied theatre at Columbia University and, according to Bearse, was cast in The Big Gay Sketch Show before graduation. Meanwhile, she embedded herself in the New York comedy scene, largely at the Upright Citizens Brigade Theatre, where she staged several solo shows.
When McKinnon joined SNL, she became the first openly gay female cast member. Although she plays several lesbian characters, they are never statement pieces.
Does the chameleonic actor grow tired of fans and friends asking for impressions when she's at parties? "I'm never at a party, so how could they?" McKinnon jokes in reply.
She is very private, with no social media presence.
This shields her somewhat from the hate being lobbed at the Ghostbusters remake, which has the most down-voted trailer ever to appear on YouTube. Some are simply skeptical of remaking the beloved franchise. But most of the anger is misogynistic, in response to the female cast.
McKinnon's approach to humour is an antidote. "Comedy is a tool of togetherness. It's a way of putting your arm around someone, pointing at something and saying, 'Isn't it funny that we do that?'
"It's a way of reaching out."
Audiences return the gesture. "She has no ego," says Schneider of the actor's resonance with viewers. "When she performs, it is for the pure joy of it."
