Before becoming an actor, McMahon went from job to job, working as clerks for a shipping company, a hat manufacturer, as a castings worker, delivering special mail, and as a soda jerk. He had a brief flirt with journalism as reporter for The South Norwalk Sentinel and was co-driver of a 'wet-wash wagon for Brophy's Laundry'. His first acting job was in winter stock while studying at Fordham Law School.