Candy then appeared on Sesame Street in season 18 in the guise of Yosh Shmenge, one of his characters from SCTV. In one scene, he performed the "Alphabet Polka." (First: Episode 2284) In another scene, Shmenge sells Oscar the Grouch a clarinet for his pet worm Slimey. (First: Episode 2301) Candy (as Shmenge) was included in the the celebrity version of "Put Down the Duckie." Archival footage of Candy's appearances was used in Sesame Street All-Star 25th Birthday: Stars and Street Forever!
Candy's other credits include the Frank Oz directed film Little Shop of Horrors (as radio host Wink Wilkinson), The Blues Brothers, Home Alone, Planes, Trains and Automobiles (with Steve Martin), and Cool Runnings (with Doug E. Doug).