I think a lot of the clearest examples for this topic will be stars in comparatively small markets like Australia, Ireland, Canada, maybe the UK to a lesser extent. The risk / reward looks very different when you’re already about as big a star as you can be in your home country and it’s a fraction of the fame and fortune possible in the US.
Harkening back to the olden days of television, two names that come to mind are James Garner and Steve McQueen. Both starred in popular TV series that either predated or ran concurrently with their early movie careers. Garner was “Maverick” on ABC, and McQueen was on “Wanted: Dead or Alive” on CBS. And Richard Boone starred on “Have Gun, Will Travel” on CBS, then had a pretty solid movie career.
Back then, it was almost impossible for an actor to successfully move from TV to a motion picture career because the major movie studios (with the exception of Warners and Disney) considered TV stars to be lesser talents, not worthy of the big screen.
Craig Kilborn was the host of a SportsCenter on ESPN. He left to become host of a new thing called The Daily Show. He got a lot of accolades there but left to host a much bigger deal, the Late Late Show after Letterman. He stayed there for five years.
His successors, Jon Stewart and Craig Ferguson, made those shows much bigger deals so he is totally overshadowed these days, but his career took off with each move.
Keith Olbermann was the biggest SportsCenter host ever with Dan Patrick and he famously left that and any every other job he ever had, mostly landing on his feet.
The creators said McAdams would have remained part of the main cast after Season 1 (well, and one episode of Season 2) if she hadn’t left to pursue other projects:
AVC: Did you have other plans for the character of Kate that then had to be cut short because of Rachel McAdams’ success elsewhere?
Mark McKinney: That’s one of the sad things. We talked for a long, long time about what it’s like to come into the arts as a young person, and we were going to lay it all out. I can’t even remember now, where we wanted to…
Bob Martin: Basically she becomes Ellen in a sense, right? Except she doesn’t become Ellen. But she has that same arc, so we sort of see it happen. And then we lost Rachel. [Laughs.] To success. She was fabulous to work with, obviously. But then when she had… It was Mean Girls that, I guess, gave her the three-picture deal.
MM: No, it was The Notebook, wasn’t it?
BM: No, I mean Mean Girls was released, and that sort of made her career.
Susan Coyne: I remember talking about it when we were doing publicity.
BM: We literally could only get her for a couple days of season two, so we just had to change completely the young-people storyline. It became a challenge to come up with one each season. It was always supposed to be about Kate.
I would say inarguably Chevy Chase – I don’t see how he possibly could have had a more successful film career than he did if he’d stayed a couple more years at SNL.
Lawrence didn’t leave the show early, though the timing all worked out perfectly. She filmed Winter’s Bone in between seasons 2 and 3, and it premiered at Sundance four months after The Bill Engvall Show was canceled.
Spaketh John Belushi in the SNL Graveyard. Accurately, in my opinion, as I think Chase was never again even remotely as funny as he had been in that first season of SNL.