On the second night, at Terminal 5 in Manhattan (capacity: 3,000), the band introduced a cover song it had played only once before, in 1997: the B-52’s playful surf-rock party jam “Rock Lobster.” Fred Armisen (Ms. Brownstein’s co-star on “Portlandia”) joined on vocals and smacked a cowbell that doubled as a lyrics cheat sheet. “It’s just the most fun song,” Ms. Weiss said. She added that the group practiced it two or three times at sound check: “Everybody showed up very prepared and I was impressed with all of us for studying and being ready.” And “Let’s Call It Love” made its return. “That’s the perfect venue for that song. You need energy from the crowd to sort of propel you through that song because it’s so tough,” she said. “Improvising is always more exciting when the crowd is into it and you don’t feel like you’re in a fishbowl. When you feel like you’re with the crowd, it’s easier to go out on the ledge.”

Ms. Weiss said the band was exhausted by the time it hit the stage at Irving Plaza in Manhattan (capacity: 1,025) on the tour’s third night, after spending the day at “The Late Show With Stephen Colbert” repeatedly playing the “No Cities to Love” track “Bury Our Friends” for broadcast that night. “Everything felt like, really scrappy and sort of wild, slightly out of control,” Ms. Weiss said. “It’s a smaller, more live-sounding stage, so it was loud and super raw sounding.”

The band was most chatty onstage the following night, at Music Hall of Williamsburg (capacity: 650), where the crew sported matching T-shirts showing their appreciation for Ms. Weiss, and Ms. Brownstein made a few remarks about the Republican debate airing on CNN. “To me, that’s a really perfect-sized room,” Ms. Weiss said. “It’s super intimate but it sounds good; you can see everyone but it’s not impersonal like the Kings Theater. In a smaller place like the Music Hall, you feel like you’re performing with the people.”

“Little Babies,” from their 1997 album, “Dig Me Out,” made its sole appearance of the run that night: “Songs like ‘You’re No Rock n’ Roll Fun’ and ‘Step Aside’ or ‘Little Babies,’ we like those songs, but in the context of this tour it felt a little campy and out of place,” Ms. Weiss said. “So those didn’t surface as much as some of the more tough songs.”