2000–2019: Continued work
Grier is a comedian and hosted the Comedy Central series Premium Blend in 2001. He made an appearance on the Dave, Shelley, and Chainsaw (DSC) Show (San Diego Jack 100.7 FM) on October 5, 2012, before doing performances at The Madhouse Comedy Club. In the interview, he debunked internet reports that he was involved in a musical based on the life of Louis Farrakhan. He took a leading role in DAG and had a cameo in the Robert De Niro and Edward Burns film 15 Minutes (2001) as a Central Park mugger. In a departure from the comedic roles he played on In Living Color, he portrayed an abusive father in Rusty Cundieff's anthology film Tales from the Hood. In 2002, Grier joined the cast of the improv-based ABC sitcom and Bonnie Hunt vehicle Life with Bonnie which ran for two seasons. During this time, he continued to appear in comedy films but also returned to drama in the films Baadasssss! (2003) and The Woodsman (2004). He starred in his own Comedy Central stand-up special The Book of David: The Cult Figure's Manifesto. He is also a frequent guest on the Comedy Central show Crank Yankers.
Grier was the host of the NBC show Thank God You're Here. He starred in Gym Teacher: The Movie (2008) playing the villain, Shelly Bragg. He appeared as Uncle Henry in the ABC 2005 television film The Muppets' Wizard of Oz. Grier guest starred in Season 6 of Fox's Bones. He played Professor Bunsen Jude, the Science Dude, the host of a children's television program. This character was inspired by Bill Nye "the Science Guy". In May 2013, Grier appeared in Tyler Perry Presents Peeples, playing the role of Virgil Peeples, alongside Kerry Washington and Craig Robinson. Also in 2013, Grier appeared in The Watsons Go To Birmingham, a Hallmark Channel adaptation of Christopher Paul Curtis' 1995 Newbery Honor-winning novel, The Watsons Go to Birmingham – 1963. He appeared on the CBS TV-adaptation of Bad Teacher, playing the role of principal Carl Gaines.
In 2008, Grier starred in the Comedy Central series Chocolate News which had satirical sketches about current events and news stories. It lasted for one season of ten episodes. Grier appeared as Jimmy Dale in the series Queen Sugar appearing in Season 3 and played the role of Mr. Packard in the Paramount Pictures film Clifford the Big Red Dog. He returned to Broadway for the premiere of Race, written and directed by David Mamet, opposite James Spader, Kerry Washington, and Richard Thomas, which opened at the Ethel Barrymore Theatre on December 6, 2009. Grier received his second Tony nomination for the role. He also appeared in the revival production of The Wiz at the La Jolla Playhouse directed by Des McAnuff.
He was a contestant on the eighth season of Dancing with the Stars, partnered with Kym Johnson. By the fourth week of the competition, Grier announced that he had lost 26 pounds. He was eliminated in the fifth week.
His first book Barack Like Me: The Chocolate-Covered Truth was published by Simon & Schuster in 2009. The book recounts Grier's own life story, and was written with Alan Eisenstock. Grier appeared on Broadway as Sportin' Life in the Gershwins' Porgy and Bess, which opened at the Richard Rodgers Theatre on January 12, 2012, alongside Norm Lewis and Audra McDonald. He was nominated for the Tony Award for Best Performance by a Featured Actor in a Musical for this role. In addition to his Tony Award nomination, Grier received a 2013 Grammy nomination for Best Musical Theater Album for his performance on the cast recording of the play. He played the Cowardly Lion in NBC's live performance of The Wiz, which aired on December 3, 2015.
He appeared in an episode of Clean House along with his brother and his brother's family. Grier invited the show to help his brother due to his severe problems with clutter, and the family received a home makeover. He hosted the game show Snap Decision, which debuted August 7, 2017, on the Game Show Network and many Sinclair TV stations.