On Maya and Marty, Rudolph sings and breathes light into loopy characters, much like the ones that endeared her to audiences and the celebrities she depicted on SNL, such as Oprah. We spoke about how Lorne Michaels hired Rudolph because of her “daring exuberant spirit and how being on SNL was always Maya’s dream. Many performers share that dream, but Maya infuses her depictions with utter originality and a familiar quality, enabling audiences to go wherever she takes us.

She has also had meaty roles in the blockbuster Bridesmaids and indies like Chuck and...