It turns out it was Anderson's turn as Agent Dana Scully on "The X-Files" that helped McKinnon realize her orientation. It's an ongoing crush that McKinnon isn't shy to talk about, either, as she did again during a GQ cover interview published Monday.
The sketch comedy master recalled that the moment of realization hit when she was 12 years old and had a "physiological reaction" to Scully on her television screen. By this point, she had already been transcribing episodes of both "The X-Files" and "Saturday Night Live," perhaps expressing from an early age her two strongest passions. She'd even dressed up as Scully for Halloween one year.
A couple of years ago, Anderson had gotten her hands on that picture and tweeted it out to her followers in honor of the premiere of McKinnon's "Ghostbusters," saying that the two women now had something in common.
The two supernatural hunters came together for the first time on the forthcoming comedy "The Spy Who Dumped Me," and it was a mutual love-fest. After filming had wrapped, Anderson spoke on "The Late Late Show" where she told James Corden that McKinnon was "the coolest, loveliest chick ever," adding that "the crush is reciprocated."
McKinnon also opened up with GQ about her affinity for sketch comedy over standup, how she connects to the people she impersonates, her viral "Hallelujah" moment after the election and more. Check out all the best bits below.
Sketch Over Stand-Up
According to McKinnon, she tried stand-up comedy exactly twice before landing "SNL," and it was not great for her. She recalls a booker for the Aspen Comedy Festival telling her, "You didn't really do enough for me to evaluate whether I liked it, but what I did see I didn't like."
The reality is that McKinnon is just a lot more comfortable embodying other characters in sketch comedy. "The whole reason that I like doing this is because I want to talk to people," she told GQ. "I don't know if you've noticed, but my voice is quite soft, and I speak slowly, and I feel it's easier for me to talk to people through the medium of sketch comedy. Ironically, if I'm in a wig, that's my unadulterated self."
She went on to explain, "The reason I was a horrible stand-up comedian is that you must speak your utter truth with details; the realer and more gruesome, the better. And I just decided that I hated the feeling of doing that. I so much more loved the feeling of disappearing into a character that was saying what I wanted to say and came from my heart. But was not me."
That's part of McKinnon's philosophy about her personal life. She makes a concerted effort to keep most of that secret, though she admits it's not that hard because she doesn't really do much outside of work. This is especially true when "SNL" is in season, as she gets one day off (Sunday) and struggles to do much of anything. "Sometimes I can get it together to vacuum the rug," she said. She only really goes out if she feels "beckoned to show up for something for one of my friends."
McKinnon said this doesn't help with comedy, though. "On Monday morning, I'll say, 'What did I do? Did I live at all in the last week? Did I experience anything, other than something that I saw on Netflix, and can I make a joke out of it?' ... I try sometimes to live just so I'll have something to say."
Love the Impressions
This is why she has gravitated to sketch comedy, and has become so well known for her impressions. It's far easier for McKinnon to step into someone else's life than to share her own through her comedy. And a big part of that is taking the time to connect to whomever she is trying to impersonate.
"You have to find the point of connection; something you find delightful," she explained. "Even if you're intending to skewer someone, you also have to find something that you truly like about them. If you're mean, it ain't fun to watch. And if it ain't fun to watch, they turn off the TV."
She describes it as "embodying" that person, and has done so with figures as diverse as Justin Bieber, Robert Mueller, Ruth Bader Ginsberg, Angela Merkel, Jeff Sessions, Rudy Giuliani and, of course, Hillary Clinton.
Perhaps her biggest moment as Hillary Clinton came just after the election, when Clinton lost the electoral vote to Donald Trump. For the Cold Open of the next episode of "SNL," it was just McKinnon as Clinton performing an emotional rendition of Leonard Cohen's "Hallelujah."
It was a last-minute change to avoid looking partisan -- the original plan was for the entire female cast to precede this performance with statements about how they felt about Trump's win. In the end, only McKinnon's voice would be heard, to represent the entire cast.
"I knew the half of the country that was happy with what happened would not like it, and I don't like to alienate anybody," McKinnon admitted. "But I also just had such an earnest desire to show people how I was feeling; a visceral desire to communicate." She closed her performance by turning to the camera and speaking as Clinton, saying, "I'm not giving up, and neither should you."
The moment came full circle for McKinnon when she listened to Clinton reading the audiobook version of her memoir, "What Happened," and Clinton detailed what that moment meant for her. "As she sang, it seemed like she was fighting back tears. Listening, so was I," Clinton admitted. McKinnon said she stopped on the sidewalk at those words, momentarily overcome.
Having just wrapped her seventh season on "Saturday Night Live," McKinnon is hearing the siren song of Hollywood. Already she has starred in several successful films.
"It's kind of [like] summer camp. You get really close to people really fast," McKinnon said. "I'm really close to everyone at 'SNL' as well. But you know how you have school friends, and that's, like, your core? But then there's something about a camp friend; knowing that it's finite, it's so emotionally heightened? If I could go to summer camp for the rest of my life, that would be great."