Playing estranged, suicidal twins in the film that premiered at the Sundance Film Festival on Saturday, the pair tackles heavy inner demons. Milo (Hader) is a newly single aspiring actor, while Maggie (Wiig) can't seem to settle into her first healthy marriage with Lance (Luke Wilson).
"This being my first drama and also the biggest role I've had in a movie, it was nice having her there supporting me and keeping me relaxed," said Hader at the film's post-premiere party of reuniting with Wiig.
Hader, who is making a successful push toward film, as many "SNL" alums have also done, says he likes shooting a film more than live television.
"I love that you have more than one take," he said. "'SNL' is always one take and it's live all over the country. It was nice having a longer process."
Back to Sundance with Wiig for the second time after their film "Adventureland" showed at the festival in 2009, Hader says he plans to catch a few screenings, just not of his own film.
"I can't watch myself," he admitted. "I get self-conscious with the way I look and sound, and I don't want that to affect my acting. I don't want to go 'Oh I can't do that because I look so weird. But my wife was kicking me saying 'You really should have been at the screening (today) because it played so well.' 'SNL' engrains in you to enjoy it that night and then have a new idea the next day, but this is really cool."
———Follow AP Film Writer Jessica Herndon on Twitter at: https://twitter.com/SomeKind