There was an Australian TV series called “The Games”, in which:
John Clarke played John – Olympic supremo (i.e., head of the Sydney Organising Committee of the Olympic Games, SOCOG)
Bryan Dawe played Bryan – SOCOG chief accountant
Gina Riley played Gina – SOCOG marketing manager
Nicholas Bell played Nicholas – secretary of the Olympic Games minister.
(The series was set in the time running up to the 2000 Olympic Games)
Sarah Silverman
I cannot believe I didn’t think of this one earlier: Kinky, Kinky, Kinky. Friedman that is.
Britney Spears
Professional wrestling probably has some people who qualify. I don’t follow it any more but back when I was there were wrestlers who performed under their own names but with fictional backstories, and of course the ongoing storylines were fictional. The McMahon family and Mick Foley come to mind as possible examples.
(bolding added)
Michael Nesmith
There was also that short-lived series on Showtime called “Fat Actress” starring that, um, fat actress (what was her name?).
Here’s a similar thread from last year:
Ronald Reagan played the part of Ronald Reagan, the president.
Will Smith!
PeeWee Herman was the character, Paul Reuben was the person who played him. One was a public masturbator, one did a “adult” kids show.
SSG Schwartz
How about the Three Stooges? They almost always referred to themselves by their real life names: Larry Fine, Moe Howard, Shemp Howard. Although Curly’s name was made up when he became a Stooge (he was always called either Jerry, or “Babe” by older brother Moe), he still was referred to as Curly Howard in most shorts.
Mr. Laurel and Mr. Hardy.