So all your first characters were unhinged.

Yeah.

When did you first take note of Eugene?

When I was waitressing. We tried dating, actually. There’s nothing sexier than making each other laugh. I think everybody tried dating everybody.

But it didn’t work out between you and Eugene.

I’m so glad it worked out that way. We probably wouldn’t be working together if we’d gone longer on the dating. Really, it was, like, one or two dates. That’s it.

Back then Eugene and I were never really a “team.” Just somehow we’ve grown together in these years.

“SCTV” came after that. You wrote for that show, too. How did that feel?

When you’re writing, you’re putting thought into what you want to express, and then you come up with it—it comes to you. When you’re improvising, it’s the same thing. You’re writing. You just say it out loud right then, instead of saying, “You think this might work?” The best improvisers, all the people that were great in the Chris Guest movies, are all great writers.

Really?

Oh, yeah. Every one of them writes, because you have to have a sense of the scene. It’s not just standing there doing jokes. You’re working with everyone else. You have to listen. You have to be ready to move in whatever direction the strongest character’s taking you. You have to have a sense of where you’re going and what needs to be accomplished.

Catherine O’Hara. Photograph by Cait Oppermann for The New Yorker

Some of those early characters of yours, how did you develop them? Are there any that are still dear to you?

Lola Heatherton was a character I did in “SCTV.” Everybody had a Vegas character except me. I really didn’t have one. Andrea [Martin] was doing one called Lorna Minnelli. She was Liza and Lorna and Judy all at once. We would play with the names. I was called Lola Heatherton because I had seen Lola Falana, the singer who used to be on “The Tonight Show” and “Merv Griffin.” I stole the stupid lip-quivering thing from her, and the kitten-with-a-whip thing from Joey Heatherton.

I didn’t have many recurring characters, but I think I probably did Lola more than any others. Really, I’m still doing it on “Schitt’s Creek,” as Moira.

Did you ever have your sights set on coming to the U.S.? Was there a point when you were, like, “I’m going to go to Hollywood”?

Well, I was in “Beetlejuice,” and the production designer, Bo Welch [who is now O’Hara’s husband], was very attractive, and he finally asked me out. We went on location at the end of the movie, and we started dating. I moved to L.A. to be with him.

For a romance.

Yeah, I moved for love.

How did you think about show business from that standpoint, living in L.A.?

I didn’t. I’d been asked to audition for “Beetlejuice.” I had all these calls with David Geffen, who was a producer. I didn’t know him at the time. Out of ignorance, I’m, like, “Who is this guy? He keeps bugging me.” He kept calling and saying, “This is a part for you. You should be doing this.” He kept calling. Then they said they wanted me to meet this guy, Tim Burton. I didn’t know Tim Burton. Then finally I was depressed at home, and I had nothing going. I said, “O.K., I’ll go audition. I’ll go meet him.”

I flew to L.A. from Toronto, and I rented a car. The address was in Burbank. I drove for hours. I thought, What kind of director is this far from show business? I was so late. I got lost. There was no cell phone. I had to pull over somewhere and find a phone booth and phone my agent. I finally, two hours late, got back to Burbank. There was a note on the door from Tim Burton. It said, “I’m sorry. I waited as long as I could.” I go back home to Toronto. A few weeks later they offer me the part.

It’s a good trick. If you’re bad at auditioning, just don’t go.

Are you bad at auditioning?

I always was, yeah. When you’re on the job, it’s so collaborative. It’s about everyone. When you’re auditioning, it’s only you. It’s so not related to what the job will be, really.

I remember auditioning for some movie, to be Robert De Niro’s wife in something. You’re reading for three people sitting in chairs behind a desk. They were nice enough. They chatted, and then, “Let’s do the scene.” It’s one of my worst memories, how cheesy I was. I was in a chair, but the scene took place in a bed. I tried to lie down in the chair and look like I was in a bed to read it. That’s typical of most of my auditions.

Is it true that you were cast on “S.N.L.” but never really went on?

I’m not proud of it. We were doing “SCTV,” and then we thought Andrew [Alexander, the head of Second City] would have a deal with “SCTV,” that we’d finish that run, and then he had no deal. I got called for “Saturday Night Live.” I went. It was in the summer. They were just starting to write the next season. Then Andrew called. He had a deal with NBC, same network. Then I had to go to the producer and say, “I’m sorry, my family needs me. My [comedy] family is calling.”

It seems like a lot of your career is these collaborative efforts. You’re drawn to projects where everybody is called to do their best and to pitch in.

Absolutely. Why work alone if you don’t have to?

It’s all give and take. It’s all about listening to others and contributing. Even if you didn’t want to act, improv classes are great, because they teach you about conversation. Although I’m talking an awful lot about myself right now.

It’s an interview with you.

I know. But it’s taught me, if I’m at a table having dinner with people, and a friend of one of the people at the table comes to the table, and there’s a quiet moment, I will jump in. I don’t even know the person. It’s just, “O.K., pick up on the conversation. Have something to offer.” To a fault, I’m sure. I probably should let more quiet moments happen.

I want to hear about the first movie you made with Christopher Guest.

It was “[Waiting for] Guffman.” It was really thrilling. Scary and thrilling. When I first arrived in Austin, where we shot it, they had already shot a few scenes, and I arrived and met with Chris, the day before, and he showed me some footage. That was even more intimidating, to see what other people had done. And he said, “Don’t worry about being funny, just be in the scene.” And, of course, we shot ninetysomething hours of footage.

There’s such a freedom in the way Chris works, because you improvise, and you get it on film; then he can use whatever he wants, and cut whatever he wants or throw out whatever he wants, but it’s there. There’s no filter.

Was there anything from those movies that you did where you remember thinking, He’s not going to use this, and then he used it?

I did have Chris say no to one thing in “Best in Show.” It was based on something I had heard about in real life. So I told Eugene this idea, and I said, “I’m thinking of doing this . . . idea, backstage with the dog.” You never have to run anything by Chris. We all know what’s supposed to be achieved in the scenes and we do our best. We’re also free to offer anything. But I must have known this was risky enough that I ran it by Eugene.

And he was, like, “No, no, no, don’t do it”?

Eugene said, “You might want to run that by Chris before we shoot.” I go, “Well, he can say no afterwards, he can not use it. . . .” And Eugene said, “No, I think you might want to. . . .”

Never in any shooting of those movies did Chris ever say no, except in that moment. I’ll just say it involved . . . “relaxing” a dog.

I kept saying, “But I know somebody who does it! ’Cause the dogs are nervous before the show!”

And he was, like, “No, Cookie, we’re going to pass”?

I think he was right.