Sitting in her tiny dressing room at “Saturday Night Live” on a Friday afternoon, Cecily Strong was trying to keep her mind off a big looming commitment.

Not the impersonation of Marion Cotillard she was about to rehearse — that she could handle.

But on Saturday, Ms. Strong, a 31-year-old comic actor, will take center stage at the Washington Hilton as the host of the White House Correspondents’ Association dinner, and she was justifiably nervous.

“I truly had days where I’m like, I wish I could disappear today,” said a deceptively upbeat Ms. Strong. “Because there’s no way to back out of it.”

This annual gathering of journalists, politicians and celebrities has become a marquee event for the performer who delivers its closing monologue. Ms. Strong will be only the second female comedian to host it in more than 20 years, and the first since Wanda Sykes in 2009.