Maya Rudolph Recalls Feeling 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show

Maya Rdolph and David Letterman
Maya Rdolph and David Letterman

Todd Williamson/NBC/NBCU Photo Bank via Getty, Jim Spellman/WireImage

Maya Rudolph is looking back at her first appearance on The Late Show With David Letterman.

The Bridesmaids star, 50, told WSJ. Magazine that she "did not have a good time" being interviewed by David Letterman on the CBS show in 2009.

"He said my name wrong, and I just sat there, like, I grew up my whole life in love with you. And now my heart is broken. And I'm sitting here embarrassed and humiliated," she recalled.

"I didn't know how to handle it," she continued. "I didn't know how to come up with something funny to say. My public persona muscle wasn't strong yet."

Letterman did apologize later in the show, which Rudolph was visiting to promote her film Away We Go.

"I'm sorry that I mispronounced your name," said the host. "I'm just a boob, there's no excuse for it, and from the bottom of my heart, I sincerely apologize."

Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show
Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show

Gioncarlo Valentine for WSJ. Magazine

RELATED: Amy Poehler Joins Maya Rudolph for Season 2 of Peacock Hit, Baking It

In the early days of her career, the Baking It star admitted to struggling with interviews and red carpet appearances.

"It would always feel like someone was stealing my soul," she shared. "That's where, over the years, I created a persona to protect myself."

"I've definitely gotten much better," she added. "When I'm uncomfortable, I try to be funny."

Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show
Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show

Gioncarlo Valentine for WSJ. Magazine

RELATED: Maya Rudolph Says She'd Be 'Down' for Bridesmaids Sequel, Jokes 'It Would Be Called Old Ladies'

However, Rudolph still does not consider herself a celebrity — even after years in the spotlight.

"I know I'm a working actor and people know who I am, but I don't feel like a celebrity, because that word means something else today to me," she shared.

She continued, "There are a lot of different types of celebrities these days and a lot of self-made celebrities where people are famous for being famous, and that isn't what I do."

Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show
Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show

Gioncarlo Valentine for WSJ. Magazine

RELATED: Maya Rudolph Talks About How 'Beautiful' It Was Acting with Her Kids in Licorice Pizza

Rudolph also opened up about prioritizing time with her family amid her busy work schedule.

"Believe me, I am not a Pollyanna who's like, I smile all day, every day. I get stressed out, I get pissed off, but I learned I could make a choice for myself, and it's liberating," she says of making time for her family. "Maybe people who've worked as long as I have make other choices and have nicer cars. I don't know, but it's so important for me to [try to] have that balance."

Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show
Maya Rudolph Recalls Being 'Embarrassed and Humiliated' the First Time She Went on David Letterman's Show

Gioncarlo Valentine for WSJ. Magazine

Never miss a story — sign up for PEOPLE's free daily newsletter to stay up-to-date on the best of what PEOPLE has to offer, from juicy celebrity news to compelling human interest stories.

In late 2020, Rudolph told PEOPLE that her and partner Paul Thomas Anderson's children Minnie, 9, Jack, 11, Lucille, 12, and Pearl, 17, may be ready to follow in her show business footsteps.

"We have a lot of living room shows," she said of her family, "but I'm usually told to sit down and watch!"

"They'll dance to anything," she says of her brood, "They're natural hams."

She also admitted that her kids haven't seen most of her work, though her oldest daughter is "very proud" of her famous mother.

"Half the stuff I do is far too blue for my children," she says, adding, "I shelter them, they've never seen half the things I do."