Malina is married to Melissa Merwin, a costume designer whom he met in 1992 through his friendship with her sister, Jenny, and ex-brother-in-law, actor Timothy Busfield; Jenny Busfield predicted the marriage two years before the couple ever met. Melissa converted to Judaism under Conservative auspices. The Malinas married in 1996 and have two children, Isabel and Avi.

Malina played two different characters over four episodes on the talk-show satire The Larry Sanders Show. He appeared first in 1993 as Robert Brody, a fictional reporter for the real-life magazine Entertainment Weekly, to whom actor John Ritter gives a scathing interview after having his appearance in the show cancelled to make room for musician Warren Zevon to play a second song (episode: "Off Camera"). Five years later, Malina returned in a recurring role as Kenny Mitchell, a sleazy network executive who pushes Larry Sanders out of the show in favor of Jon Stewart.

From 1998–2000, Malina starred as character Jeremy Goodwin on Sorkin's Sports Night, a show that attracted him from the moment Sorkin sent him the pilot script. The Goodwin character began as a research analyst, but was promoted to associate Producer by the second season, creating a larger role for Malina. The critically acclaimed show was unable to find a large fan base and was canceled after two seasons, with some critics saying the show's troubles were exacerbated by having to share Sorkin's time with his concurrent project on rival network NBC, The West Wing. The actor counts Sports Night among his most popular roles and noted on the occasion of the show's 10th-anniversary DVD release, "If my straw poll of who stops me to say what is any indication, West Wing may only slightly edge Sports Night."

In 2004, Malina was a participant in the first-ever national television advertising campaign supporting donations to Jewish federations. The program featured "film and television personalities celebrating their Jewish heritage and promoting charitable giving to the Jewish community" and included Greg Grunberg, Marlee Matlin, Kevin Weisman, and Jonathan Silverman.

In 2007, Malina became one of the four stars of the short-lived ABC dramedy Big Shots. His character, Karl Mixworthy, was a pharmaceutical company executive juggling a wife and a mistress, who meet when the jilted lover tries to expose him to his wife but befriends her instead.

Since 2011, Malina has appeared as Pres. Siebert on The Big Bang Theory.

In 2012, Malina held a recurring role on ABC's Scandal as Assistant U.S. Attorney David Rosen. He was promoted to a series regular for season 2.

Following the panned Hank Azaria vehicle Imagine That – where both he and Azaria were described as "talent going to waste" – Malina played Will Bailey on The West Wing from 2002 to 2006. His character initially was perceived by the public as an attempt to replace departing series star Rob Lowe, although Malina said in numerous interviews that the two actors and characters were too dissimilar to be viewed as anything but a change. During his tenure on The West Wing, Malina was known to the rest of the cast as a tireless prankster. It is said he coated telephones with Vaseline and reset Producer Alex Graves's iPod menus to Mandarin Chinese. He stole some of Bradley Whitford's letterhead stationery and used it in an elaborate prank. At the suggestion of co-star Janel Moloney, Malina sent a $200 Valentine's Day bouquet to season-six newcomer Jimmy Smits that included a card crafted on Whitford's stolen letterhead stating: "Jimmy, You are a delight. I enjoyed every moment we've had together. Be my Valentine." Following the end of The West Wing, Malina campaigned for the leading role of Danny Tripp in Sorkin's next TV project, Studio 60 On the Sunset Strip, but the role went instead to Whitford. When the show was cancelled in its first season, Malina was teased by some in the industry who suggested he was Sorkin's good luck charm, but he pointed to Sorkin's upcoming film Charlie Wilson's War as evidence his friend could succeed without him.

Malina co-hosts the podcast The West Wing Weekly with Hrishikesh Hirway. The series debuted in March 2016.