The Saturday Night Live alum made her debut guest appearance on the late-night talk show in 2009.
In a new interview with The Wall Street Journal, Rudolph, 50, reflected on her earlier years in the business when she struggled with red carpets, interviews and talk shows.
“It would always feel like someone was stealing my soul,” she described. “That’s where, over the years, I created a persona to protect myself.”
She then recalled her first experience joining David Letterman on his show.
“I did not have a good time,” she remembered.
“He said my name wrong, and I just sat there, like, ‘I grew up my whole life in love with you. And now my heart is broken. And I’m sitting here embarrassed and humiliated.’”
The Independent has contacted Letterman’s representatives for comment.
The Bridesmaid star continued: “I didn’t know how to handle it. I didn’t know how to come up with something funny to say. My public persona muscle wasn’t strong yet.
“I’ve definitely gotten much better. When I’m uncomfortable, I try to be funny,” she added.
Rudolph was a regular cast member on SNL from 2000 to 2007, where she famously parodied US Vice President Kamala Harris and Beyoncé, among other famous figures.
In addition to numerous guest appearances since her departure, she returned in 2012 and 2021 to host the comedy sketch show.