"In the '90s, I auditioned for a movie [called] A League of Their Own in Chicago," she said of the 1992 film about an all-female baseball league.
Directed by Penny Marshall and starring Tom Hanks, Geena Davis and others, the role Lynch sought ended up going to Rosie O'Donnell.
"Rosie O'Donnell ended up getting the part, but I auditioned," Lynch said of the role of a woman on the team. "I had to play baseball and the whole thing."
"I didn't get it. It was heartbreaking," Lynch admitted.
While she didn't star in A League of Their Own, Lynch did get an iconic part a few years later, in the comedy Best in Show. In honor of its 20th anniversary, ET reunited the cast -- Eugene Levy, Catherine O'Hara, Christopher Guest, Michael McKean, John Michael Higgins and Lynch -- an experience Lynch called "a real blast."
"Twenty years feels like a long time ago and in a way it was just like yesterday," she said. "It was great to see all those guys."
During the reunion, Lynch gushed over the film, which was a faux documentary centered on the Mayflower Kennel Club Dog Show and the quirky characters competing in it.
"Sometimes you can go back and revisit a movie 20 years later and you go, 'What was I laughing at?' But in fact, I was laughing at even more stuff," she said. "I think it's probably a timeless film. I think it'll probably live in that pantheon of films that are still funny after many years."
Watch the video below to see more from ET's Best in Show reunion.