McKean, 64, broke his leg and suffered various bumps and bruises in the mishap, then underwent surgery and remained hospitalized until Thursday when TMZ said he left for rehabilitation at Roosevelt Hospital.
"I am heading into week two with renewed admiration for New York City's Emergency Medical Service staff, the NYPD, the staff of St. Luke's Hospital ... and all those with problems much greater than my own," McKean said in a statement Thursday.
The actor's injuries forced him to drop out of the Broadway revival of "Gore Vidal's The Best Man."
McKean is best known for his work in the films "This is Spinal Tap," "Best in Show" and "For Your Consideration," as well as TV's "Laverne & Shirley."
He and his wife, Annette O'Toole, were nominated for an Original Song Oscar in 2003 for "A Kiss at the End of the Rainbow" from "A Mighty Wind."