The actress compared the experience to filming SNL after Sept. 11.
"There was a reminiscent feeling of, you were in the center of everything going on. And honestly, SNL's been doing, they're doing an unbelievable job of making you feel safe. Everyone's tested every single time we walk in but it's SNL. Everything happens at the last minute you know in order to get the best show possible on the air," Rudolph said.
"So imagine that with like PPE and masks and people spread apart. It's wild. It was so strange and yet so comforting because the minute you're in that building and you hear the music you're like, 'Oh life's back to normal again.' With just some little alterations," she continued.
Rudolph was featured on the most recent episode of SNL with Jim Carrey as Democratic presidential nominee Joe Biden and Alec Baldwin as President Donald Trump. The episode, hosted by Chris Rock, attracted nearly 8 million total viewers.
Rudolph appeared as Harris, Biden's running mate, during a debate between Carrey's Biden and Baldwin's Trump. The comedian said she did not know her lines until she was on air.
"It was so scary. I was not even thinking about what Kamala speaks like. I was just worried like 'Do I have pants on? Is there a booger hanging out?'" Rudolph said.
Rudolph and Fallon also presented a new skit where they portrayed professional scatters named Lon and Yvonne. The pair performed scat versions of popular songs such as "Express Yourself."