Fittingly, the hilarious duo met during the filming of a new version of "Saturday Night Live". "I met Steve, the first time, backstage at 'The New Show,' an hour-long version of 'Saturday Night Live' in prime time that Lorne Michaels was producing for NBC," Short told InStyle in 2021. "Steve was the guest host that week — this is in '84 — and Catherine O'Hara, my old friend, was doing the show with Steve." However, they apparently only interacted briefly and didn't get to know one another until they starred in their first film together.