"The show was seven years of my life and a six-day work week and you're constantly with your friends all day, all night," she said at CinemaCon in Las Vegas on Thursday.
"You sort of live and breathe the show," she explained. "Then, when it's over, you kind of feel a little lost... It was definitely an adjustment, even just the hours and [no longer] being in New York."
Wiig earned four consecutive Emmy nominations for her work on SNL, which included expert impressions of Suze Orman and Kris Jenner. In the summer of 2011, Wiig co-wrote and starred in Bridesmaids, which went on to earn $169 million at the domestic box office. She'll next appear in Ben Stiller's The Secret Life of Walter Mitty and opposite Will Ferrell in Anchorman: The Legend Continues.