Bill Murray remembers being David Letterman's first guest on the 40th anniversary of 'Late Night'

If Bill Murray was going out, he was going out his way.

Forty years ago, former Indianapolis weatherman David Letterman made his debut as NBC's newest late-night host, following the long-reigning King of Late Night, Johnny Carson. The network's expectations weren't especially high: When Late Night With David Letterman premiered on Feb. 1, 1982, Letterman had already washed out on morning television, and the eccentric meta-comedy he and his creative team planned to bring to the post-Tonight Show time slot seemed like a tough sell to audiences accustomed to Carson's more vintage brand of hosting. As Letterman recounted decades later, NBC and Carson layered on additional restrictions — including jettisoning familiar Tonight Show elements like a full band and a topical opening monologue — that seemed to guarantee that his late-night career would be over before it really began.

Even Letterman's first-ever guest, Murray, felt that time wasn't on the novice host's side. Speaking with Yahoo Entertainment ahead of the release of his new documentary, New Worlds: The Cradle of Civilization, the comedy icon says that he turned up at 30 Rock on Feb. 1, 1982 half-expecting that Late Night would be a one-night-only affair. But that feeling only lit Murray's fuse to help Letterman make his short run a memorable one. "If the show was gonna get canceled right away, I thought, 'That may be the one I would like to go out on, if it was going to be canceled after one night," Murray says now.

Four decades later, of course, we know that Late Night With David Letterman lasted a little bit longer than one night. Letterman anchored the 12:30 a.m. time slot for 11 years before departing NBC under extremely acrimonious circumstances to launch The Late Show With David Letterman on CBS. Even after he left, the Late Night brand continued with Conan O'Brien, Jimmy Fallon and, currently, Seth Meyers, sitting in Letterman's chair. (Meyers will welcome Letterman back to his old digs on Feb. 1 to mark Late Night's 40th anniversary.) As Murray himself observes, things "went OK" for Letterman after those first night jitters. "Dave's pretty good — we don't have to worry about him," he jokes. "He's got serious chops."

Viewed again today that first Late Night broadcast doesn't necessarily herald a network institution in the making. Opening with a vaguely ominous introduction by Larry "Bud" Melman, aka Calvert DeForest — who promises an experience that will "thrill," "shock" and "horrify" viewers — Letterman's unassuming entrance is preceded by an all-female dance troupe sporting super-sized peacock feathers. Observing this bizarre scene, emcee Bill Wendell audibly stifles a chuckle while reading off the run of show, which includes appearances by Murray and Don Herbert — better known as kiddie-science hero Mr. Wizard — as well as a tour of the set and a field piece exposing the "Shame of the City."

Making his way through the Peacock Girls' feathers, Letterman takes center stage and welcomes the audience to his grand experiment. "I'm very excited about this new show, and it's a big three or four days for NBC," he jokes, tweaking the network that seems poised to shut him down immediately. After a commercial break, Letterman takes the cameras on that promised set tour — introducing them to musical maestro Paul Shaffer along the way — that doubles as an extended comic bit about demolishing the "glamour" of late-night television.

While Letterman was roaming around the studio, Murray — who was one of the biggest comedy stars in the world thanks to Saturday Night Live and Stripes — says he made a point of staying out of sight. "I kind of disappeared," he remembers now. "I came in and sort of stood around, and then disappeared and showed up a couple of minutes before I was gonna go on. That just added seven or eight layers of tension to the opening-night performance."

Watch Bill Murray's appearance on the first Late Night With David Letterman episode below:

Once he took the stage, Murray followed the host's lead in exploding the expected late-night conventions. "I missed the first part of the show by the way," Murray began, acknowledging his backstage absence. "What happened? Is it going well? I know this is the first show and I think this guy needs a little support." Letterman let loose an elaborate sigh in response before pressing ahead with the playfully combative interview style that he quickly became known for. "This may not be of any interest to anybody, and it's barely of interest to me," he told Murray, nearly cracking the comedian's straight face.

The rest of the 12-minute interview set the tone not only for Late Night, but also for Letterman and Murray's subsequent decades-long TV history. Ever the chaos agent, the actor proceeded to play with lint balls; threaten and then apologize to the host; screen footage of his new pet — a six-week-old panda he rescued from a Chinese restaurant; and share the secrets of his aerobics routine. The appearance culminated in a full-throated performance of Olivia Newton-John's chart-topping hit, "Physical."

"It was really fun," Murray says, still primed to joke about that night almost 40 years later. "I remember a lot about that night, although I don't remember thinking that 'Physical' was gonna be my statement piece that I'd be remembered for. If I were taken by God tonight, probably the first thing that would come up on Yahoo tomorrow would be: 'Tragedy today as entertainer William Murray dies.' And then 'Physical' would come up and there'd be a photograph of me at the bottom of a fire escape having fallen the last three stories to the street."

Letterman certainly wasn't going to let Murray forget his "Physical" moment. A decade later, when the host had moved over to CBS, Murray was the first guest he welcomed to The Late Show set at the historic Ed Sullivan Theater. And when the actor hit the stage, Shaffer's orchestra struck up a familiar tune. Murray repaid the favor by spray painting "Dave!" on his new desk.

Watch Bill Murray's first Late Show with David Letterman appearance below

Unexpected — and hilarious — moments like that enshrined Letterman and Murray as one of late night's all-time great host-and-guest double acts. And the duo clearly recognized they had a special kind of comic magic. Murray made a whopping 43 appearances on both of Letterman's shows across a span of 33 years, and was also the host's final Late Show guest when he retired from network television in 2015.

Asked what the specific source of that magic was, the actor has a typically wry explanation. "I was a local hire," he jokes. "That's why they always called me! It was like: [Bill's] available, he's not that far away and he can get here on his own. There's no need for extras like plane fare or hotels or anything like that. And we don't have to send a car. He [can] get here by subway or a taxi or a bus." Well, by his own admission, Murray likes being... physical.

New Worlds: The Cradle of Civilization premieres Wednesday, Feb. 2 in theaters.