Hader also says he "felt so terrible" for making Ashlee Simpson cry on MTV's "Punk'd" 14 years ago.
"We both know, dog," said Jay Pharoah, who was also on "SNL" during Hader's run.
"Yeah, it was Bieber," Hader replied. "Bieber was just in a bad place. Maybe he's in a better place, but then he was in a very -- it was rough."
The "SNL" star said that the majority of the time, their guests are pleasures to work with, but "Bieber was the only one" who wasn't so well-behaved.
"He just seemed exhausted or at the end of a rope," Hader said. "He was just so huge."
Pharoah added, "I saw Kanye [West] yank somebody. That was pretty hilarious. Kanye went like this and got the dude in place. I was like, 'Ha! Ha! Ha!'"
A caller then asked Hader if he's kept in touch with Ashlee Simpson since he punk'd her on MTV.
"Oh, yeah, I talk to her every day, actually," he joked. "She's still pissed off that I punk'd her. What was that, like, 13 years ago? No, it was 14 years ago. I was on the show 'Punk'd' before I was on 'SNL.' I was one of those people, and we punk'd Ashlee Simpson. And she started crying, and I felt terrible."
Hader explained how he and the show's host, Ashton Kutcher, set up an "elaborate" premise at an art gallery, exhibiting his dead brother's artwork. When Simpson -- who was at the showcase -- set her jacket down, it caught fire, which set off the building's sprinkler system, which flooded the gallery and ruined all the artwork.
"I had to come out all wet holding this artwork like, 'Look what you did!'" Hader recalled of his first professional job as an actor. "I felt so terrible."