Back in 2008, YouTubers Dave McCary and Kyle Mooney caught the attention of Steven Spielberg. After his daughter showed him one of their videos—a parody of Spielberg’s own Hook—he sent them an encouraging note that Mooney kept in his wallet for years. They also sent a response to the filmmaker: “Steven, seems like you’re on the right track too. Keep making videos.” He took their advice.

And they took his. In 2013, Saturday Night Live hired the pair—McCary as a writer-director and Mooney as a cast member. Then at Sundance this January, they premiered their first feature film, the dark but whimsical Brigsby Bear—directed by McCary, starring Mooney—to standing ovations, positive reviews, and a $5 million deal with Sony Pictures Classics. It opens in theaters July 28.

Tall, urbane, self-effacing McCary and rumpled Mooney—who shows up for our interview wearing a vintage sweatshirt covered with purple seals—have been a package deal since childhood. They grew up down the street from one another in San Diego; they shared nerdy obsessions, collaborated on a rap album in high school, performed “indie electronic dream pop” together in college. And, even as their stock rises, they’ve remained disarmingly modest. “We kind of decided we’re really going to spill the beans with you,” Mooney deadpans. McCary interrupts: “This is the one where all the secrets come out.”

They like finishing each other’s sentences. And they like authenticity. Their comedy celebrates the little guy, the one wrestling with personal demons: an overzealous roommate who alienates potential friends; a rebellious teen badass aching for his father’s attention; an old-school stand-up comic whose humor tries to hide a lifetime of pain. Social angst is their palette.

“We see the worst versions of ourselves—things we did or could have done—in the characters who inspire us,” McCary says. “That motivates us. We want people to be more self-aware, to see how strange we all are, how delusional. And how wonderful.”

Their best bits are deep character portraits, what McCary calls “our little stories.” Mooney elaborates: “Vulnerability makes us uncomfortable, but it’s exactly what we need to connect with one another.” “It’s cathartic,” McCary adds. “Not just for our audience, but for us.”

McCary went to film school, but left after two years. Instead, he hung out with Mooney, Beck Bennett and Nick Rutherford at U.S.C., where the four of them launched the comedy team GoodNeighbor. They soon followed in the footsteps of The Lonely Island—three high-school friends who caught mainstream comedy’s eye by posting their work on the Internet in the early aughts—and began producing videos. “I was the only one who knew how,” McCary says. “It was kind of a serendipitous thing where we were in the right moment, had the right creative mix.”

Gradually, GoodNeighbor’s sketches grew deeper and richer; their zany characters began to feel real. “We started exploring the importance of backstories,” McCary explains, “and then applied what we knew about comedy to dramatic narratives.”

In 2013—again following in the footsteps of The Lonely Island—they were invited to join S.N.L. Suddenly, they went from cult heroes to not-ready-for primetime players—but after a year, Nick Rutherford left the team. Even though he and Bennett (who is still a Saturday Night Live cast member) both have cameos in Brigsby Bear, the GoodNeighbor brand no longer exists—a disappointing outcome for their original fan base.

“Our fans want us to keep doing GoodNeighbor sketches, but that’s no longer possible,” McCary explains. “On YouTube, we were our own masters. We could sit on an edit until we got it right, we could choose quality over quantity.” Mooney chimes in: “We were constantly learning and trying new things—oh, maybe this will work—and we want to keep doing that. But now there’s more pressure.” They know that their tone is off-center, not fully in line with the classic S.N.L. formula, and that weekly output is key. This clearly bothers McCary: “At S.N.L., we don’t have the luxury to perfect things. However a video turns out, that’s what we have to present.” Even with four seasons under his belt, he sounds apologetic. “There’s a number of things that I’m super embarrassed by and wish didn’t air.”