The actor says it was a "no-brainer" to join the series: "We were very flattered to be involved."

Jordan Peele and comedy partner Keegan-Michael Key bundled up for FX's Fargo, where they play less-than stellar FBI agents.

The Key & Peele stars did not plan to work together outside of their show — or in projects they didn't produce — but immediately changed their minds when they got the call for Fargo.

"The fact that this is a dramatic piece for the most part—or the half part—was absolutely appealing to us," Peele tells The Hollywood Reporter. "And then we started hearing about the cast, which I still believe is just the best cast on any show on television. It quickly became a no-brainer. We were very flattered to be involved."

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Here, Peele talks working in the freezing cold, partying with costar Bob Odenkirk and improving on set.

What did they tell you about the role ahead of time?

They didn't have to say much. Fargo is one of Keegan and my favorite movies. We are huge Coen Brothers fans. I don’t know if anyone would say no to this. The only question was, "Do we want to do be a comedy team other than in Key & Peele, or something that is not a Key & Peele production?" Up until this offer, the answer was "no." We wanted to preserve the idea that we are two actors who come together on Key & Peele and we go off to work other things. We didn't want it to look like we are interested in being a comedy team for the rest of our lives.

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How long were you up there shooting?

We were there for a total of about two weeks, and it was brutally cold. We could only shoot for five minutes at a time before having to go inside.

You and Keegan have a lot of funny lines. Did you improv that?

(Showrunner) Noah Hawley was on set just about every day, so he was continuing to tweak things as we got there. He gave us an opportunity to play with the car scene, which we did a good amount. Noah saw what we were latching onto about the characters' dynamic and he went off to further tweak the roles kind of in the direction we were going.

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Any improvisation that we did, it would have been color. There were no brilliant moments or nothing that enhanced the script by any means, only in the fact that it developed more into a natural conversational dynamic between the two us us.

How was your approach to Fargo different than working on your own show?

Noah introduced us to the characters as though they were the Rosencrantz and Guildenstern of the series. That has the comedy sort of embedded in it. The last thing we wanted to do was distract in Fargo. Already in our show, we let scenes heighten to some outlandish places, but our general philosophy is try to bring as much emotional realness to the characters as possible. It didn’t really feel too different than that. The tone of the comedy are different. It's the Coen Brothers-style comedy. Every line is funny, but you almost miss it the first time around.

Bob Odenkirk is also a well-regarded comedy guy. What was working with him like?

We had a night where we went out on the town in Calgary [where the show filmed]. He is such an awesome guy and we went out to a local comedy club and did a set of stand-up, unprepared. To anyone in improv, he is a hero. He was a comedy badass that night.

Did you go up as well?

We're two steps behind him as far as the "let loose and try and free ourselves." We're much more in our heads.

Check back to THR.com on Wednesday morning for a spoiler-filled finale Q&A with Hawley.