Rudolph commented to Paper that Wiig made an immediate impression when she joined SNL in 2005 because she was supremely confident in her talent.
"Kristen came to SNL knowing who she was, which I really envy," said Rudolph, who co-starred with Wiig on the sketch comedy series for several years.
Rudolph continued: "I was 27 when I got there, and not really fully formed, but [Wiig] was an adult, and she immediately just sort of nailed it."
When Wiig herself was asked by the magazine to describe her SNL castmates, the comic joked: "I love the cast. We're like Melrose Place without the murder."
Wiig was recently rumoured to be leaving Saturday Night Live at the end of the current season, but her rep has clarified that no decision will be made until next year.
Saturday Night Live continues this weekend with host Jimmy Fallon and musical guest Michael Buble at 11.30/10.30c on NBC.
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Watch Kristen Wiig in the Saturday Night Live 'Ornaments' sketch below (US only):