Maya Rudolph and Amy Poehler Share Their Favorite 'SNL' Moment: 'Laughing So Hard Our Wigs Came Off'

In over 21 years of friendship, Amy Poehler and Maya Rudolph have gotten to know each other exceedingly well — including the little things they have in common.

"Maya and I agree on a lot of things but one of the things we agree on most is if we get a cupcake, we take that frosting right off," Poehler, 51, who is co-hosting the second season of Peacock's reality baking series Baking It alongside Rudolph, tells PEOPLE in this week's issue.

Rudolph, 50, adds: "Yes! I'm not a frosting person. And if I have an Oreo, I just eat the cookie. I take out that stuff in the middle."

Dessert preferences aside, the longtime friends are having fun with Baking It, in which talented teams of home bakers gather in a winter cabin and compete in a series of themed challenges for the chance at a $50,000 prize.

"It's double the violence this season," says Poehler. "I mean, it's the same warmhearted show but we do blow things up and that's not a joke!"

"We thought it would be fun to be our true selves — funny and goofy and warm," notes Rudolph. "And the idea that two moms would have an explosive baking show really made us laugh!"

The pair have been laughing together since 2001, when Poehler joined the cast of Saturday Night Live the year after Rudolph.

"Amy came in and it was like that scene in Grease when the Pink Ladies get to school," recalls Rudolph. "She was a beloved comic and all the writers were like, 'Amy tell us everything!'"

Says Poehler: "We had the same impression about each other because I was like, 'Maya is an SNL natural. Everything you need to do on this show, Maya can do it better than everyone.' I still agree with that opinion!"

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And the pair also agree on a favorite sketch, back in 2004.

"One of my favorite things Amy and I ever did was called the Trainwreck Awards," says Rudolph, who played Diana Ross in the skit. "[Amy] was Anna Nicole Smith. It was about these awards shows that go terribly wrong."

"You can tell we were laughing so hard because our wigs came off and people were nose breathing into their mics," she continues. "That was the beginning of us recognizing that you can have a blast doing the show have laugh while you're doing it!"

For more on Amy Poehler and Maya Rudolph, pick up the latest issue of PEOPLE, on newsstands Friday, or subscribe here.

Season 2 of Baking It is now streaming on Peacock, with new episodes dropping every Monday.