Wendy Anne McLendon was born in Bellflower, California, the daughter of Carolyn (née Lewis), an accountant, and David Robert McLendon, a former delivery driver for Coca Cola. She has a younger sister who is a therapist in Portland, Oregon. She was raised Baptist, and has Scottish and English ancestry. She graduated from California State University, Long Beach with a B.A. in Liberal Studies and Creative Writing in 2000.
After graduating from college, while McLendon-Covey was working at a hotel in Anaheim, she enrolled in a weekend class for non-actors at The Groundlings, an improvisational group in Los Angeles. She officially joined The Groundlings in 2002, and meanwhile worked as an editor for California State University's academic journal of social work, a job she kept until 2012.
In 2003, she auditioned for the role of Deputy Clementine Johnson in the comedy series Reno 911! "I went in, and I thought, "Fuck this. I'm not gonna get it, but you know what? I'm just gonna go in [and try]," she recalled. At the time, the series had previously been considered by Fox. McLendon-Covey was cast in the role, and the series was subsequently picked up by Comedy Central.
McLendon-Covey has been married to Greg Covey since August 10, 1996. They live in Signal Hill, California.