Last week, the 33-year-old announced that he was exiting the long-running comedy sketch show after eight years of playing various characters and featuring in his popular Digital Shorts.
The star told Entertainment Weekly: "It wasn't a decision I made lightly or quickly. I will miss everyone there. I have made a lot of great friends there over the years and learned so much, but it was time.
"I won't lie and say I'm not nervous about what happens next but you have to move forward."
Prior to Samberg's announcement, Kristen Wiig was given an emotional send-off during the season finale of SNL as she ended her seven-year run in the programme.
Samberg can be seen next in Adam Sandler's upcoming comedy That's My Boy, where the duo play father and son.
"It's the most nervous I've been since I started SNL because it's Sandler," Samberg added. "There's a certain pedigree and his movies are generally very successful. I was like, 'Oh man, do not let me be the screw-up. I don't want to be the guy that tanked the Sandler movie'."
That's My Boy arrives to cinemas on June 15 in the UK and September 7 in the UK.
Watch the trailer for That's My Boy below: