A glut of books by comedians has hit bookshelves in recent years. Memoirs and essay collections by Lena Dunham, David Spade, Amy Schumer, Mindy Kaling, Steve Martin, Tina Fey, Doug Stanhope and Patton Oswalt are of varying quality—Mr. Martin’s and Ms. Fey’s are the best of that lot—but Norm Macdonald has a leg up on all of them. “Based on a True Story” isn’t really a memoir, as the cover claims. It’s closer to a novel, a Russian tragicomedy, perhaps. Dostoyevsky by way of 30 Rockefeller Center.

There are a few moments when Mr. Macdonald tiptoes up to sincerity, as when he’s discussing his stint on the anchor desk of “Weekend Update.” “If I am remembered, it will always be by the four years I spent at ‘Saturday Night Live’ and, maybe even more than that, by the events surrounding my departure from that show,” he writes. He was fired because an NBC executive apparently wasn’t a fan, and there’s a half-sad, half-winking tone when Mr. Macdonald contemplates being best known for failure. One imagines the thought of it lingers, like an annoying case of tinnitus: a background buzz he can never quite shake. “I can see that my life since ‘SNL’ has been a full sprint, trying with all my might to outrun the wolves of irrelevancy snapping at my heels.”

Based on a True Story By Norm Macdonald Spiegel & Grau, 240 pages, $28

Other portions of the book are less truthful. While he did appear on “Star Search” in 1990 and lost to an African comedian named “The Bushman,” he did not perform a joke about answering machines and certainly didn’t bomb in front of a stone-faced audience. One also does not imagine that Mr. Macdonald earned his spot on “SNL” by offering show creator Lorne Michaels a bag of “government-grade morphine.” Or maybe he did.

Mr. Macdonald’s tall tales often serve as a critique of the genre’s demand for dirt and backstage stories. For instance, when he talks about meeting Chris Farley for the first time during a retreat ahead of his initial “SNL” season in 1993, Mr. Macdonald writes, “He secreted me to a room where we could be alone, locked the door, and cased the place, to be sure no one was listening . . . Chris drew me close and whispered in my ear. ‘Pat is actually a WOMAN!!!!!!!!!’ And then that big Chris laugh. Man, I miss that laugh. That big Chris laugh.”

Mr. Macdonald is working on several levels here: He’s mocking the platitudes offered up about dead legends; he’s ridiculing the very idea of behind-the-scenes stories; and he’s doing it by ruining the joke of the “It’s Pat!” skits about an androgynous office worker that serves as a stand-in for every done-to-death sketch on the show. It’s a commentary on the memoir genre—and the audience that consumes such books. Again, one can never be sure about the truth of Mr. Macdonald’s stories—was he actually in love with fellow cast member Sarah Silverman? Did he beg David Spade for advice in wooing her? Or plot the murder of Dave Attell to win her hand?—but his advice on becoming a success in the entertainment industry in the 1990s (“Meet Adam Sandler”) seems sound.

Rather than a straightforward retelling of Mr. Macdonald’s life, “Based on a True Story” is framed as a sort of spiritual journey. We learn of Mr. Macdonald’s life from flashbacks that take place during a (metaphorical) trip to Las Vegas, where he is accompanied by a real (but fictionalized for this book) acquaintance in an effort to earn enough money to retire forever. We learn that all of this has been made up during interludes with a (fake) ghostwriter—a hack named Charles Manson (“not that one”) who is trying to conjure up the words to describe Mr. Macdonald’s seemingly empty core, and who doubles as Mr. Macdonald’s vehicle to confess his self-loathing. There’s also a devilish loan shark, a transgendered thief and even God.

This semi-fake journey is Mr. Macdonald’s attempt to explain what it’s like to suffer from a gambling addiction. In 2011 he told podcaster and comedian Marc Maron that “he lost everything he ever had” three separate times. One gets the sense that, like any addiction, its specter haunts. “It’s not the wasted money that gets me, because money comes and goes,” he writes. “It’s the time. And with that realization I feel a profound sadness, as I remember all the wagers, all the adrenaline, the bad bets, the lucky wins, and all of it for nothing.”

This is a gutsy gambit—many readers will likely pick up the book for stories about hosting “Weekend Update”—but Mr. Macdonald’s willingness to take risks pays off mightily. A straightforward story about a comedian losing his money over and over again might be juicy, but it wouldn’t necessarily be any different than any other tale of addiction. It certainly wouldn’t be art.

And that’s what “Based on a True Story” is. It’s a sui generis work of pseudo-memoir that will have you simultaneously laughing at Mr. Macdonald’s wit, scratching your head at the veracity of his stories and pondering mortality, as embodied by a dying child who wants to club a seal before he goes. It’s the best new book I’ve read this year or last.

—Mr. Bunch is executive editor at the Washington Free Beacon.