The actor joined SNL in 1986 and remained a member of the main cast until 1995. In that time, he anchored 'Weekend Update' and developed the 'Hanz and Franz' sketches with Dana Carvey.
Nealon has now told Reuters that he "absolutely" treasures his time on the NBC sketch comedy series.
"I know a lot of people say it was horrible and so competitive, but so is Hollywood," the comic joked.
He added more seriously: "It was so creative and to work with all these amazing guests and hosts - Paul McCartney, Mick Jagger, Steve Martin, Bill Murray. [It] was pretty special for me."
Nealon has made several cameo appearances on Saturday Night Live since leaving, most recently in 2001.
He has also starred as Doug Wilson in Weeds and the titular character in Glenn Martin, DDS.
Saturday Night Live kicks off its 38th season in September on NBC.
Watch Kevin Nealon in a clip from Saturday Night Live below (US only):