The 39-year-old comedian, known best for his performance as city nightclub correspondent Stefon, opened up to GQ about the anxiety he experienced during his time as a cast member.
That feeling was soon replaced by the anxiety of going on stage and performing before a live audience every Saturday night.
"I love the people there, but doing that show was really hard for me," he explained. "It was this funny thing of being trapped by this thing that was hurting you."
Hader said he would get so anxious during the live show that he would stand backstage hyperventilating and staring at the floor. Eventually, he sought help.
"I had to go to a therapist and do meditation -- all these things to try to calm my nerves," he said. "It was becoming really detrimental for my performing."
It's a risky move for Hader, but one he is ready for.
"I had acted in movies. I'd been on 'SNL.' Then I did 'The Skeleton Twins,' and I was like, 'I guess I'm an actor,'" he told GQ. "And I wish now that I hadn't waited that long, because I think my work would have been better. I was so trepidatious."