Actor and comedian Bill Murray opened up on Friday about his experience playing former White House chief strategist Stephen Bannon on "Saturday Night Live" last month. 

Asked on CNBC's "Squawk Box" about how he came to play President TrumpDonald John TrumpTrump threatens ex-intel official's clearance, citing comments on CNN Protesters topple Confederate monument on UNC campus Man wanted for threatening to shoot Trump spotted in Maryland MORE's former top aide on the NBC sketch comedy, Murray's answer was initially short.

"The people spoke," he said before launching into a more detailed account of his experience.

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"My friend called me up and said, 'Would you like to be Steve BannonStephen (Steve) Kevin BannonBannon announces pro-Trump movie, operation team ahead of midterms: report Internet security expert: 'I don’t think it’s right to say’ tech giants are politically biased UK's Boris Johnson gives reporters tea while avoiding questions about anti-burqa comments MORE?' I said, 'Who wouldn’t? Sure, OK, I’m going that way anyway,' " Murray recalled. "And they had a really good wig."

Bannon departed the White House in August and returned to his previous job as the executive chair of Breitbart News.

But he was pushed out of that role in January after he was quoted in a book, "Fire and Fury" by New York media writer Michael Wolff, speaking critically of Trump and his family.

Murray, an alum of "SNL," also reflected on the show's production 40 years after he left its cast. Lorne Michaels, the show's creator and longtime producer, Murray said, has "learned something" since his early days running the show.

"It’s pretty amazing how it runs now," Murray said.