McCarthy, 43, also opens up to the magazine about actually starting her career in comedy doing stand-up as a drag queen named Miss Y.
"I really dressed to rival a drag queen, for sure," she recalls, also revealing that her roommate at 20 years old was the now popular luxury shoe designer Brian Atwood. "I had a gold lamé swing coat on, a huge wig, big eyelashes. I talked about being incredibly wealthy and beautiful and living extravagantly."
Clearly, McCarthy is used to standing out – she remembers "going slightly nuts" and dying her hair blue-black and wearing "weirdo fishnets" when puberty hit – but it turns out her unconventional methods also helped her land her Oscar-nominated role as Megan in Bridesmaids.
Specifically, she rambled about "inter-species dolphin sex" during her audition opposite Kristen Wiig.
"There's not one thing you could have done to seem any stranger," McCarthy recalls, also explaining that she "blacked out" during improving with Wiig in front of Judd Apatow and producer Paul Feig. "Sex with a dolphin? Handplay with a dolphin! You just could not have been any weirder."
Though ET is already well aware of McCarthy's amazing improv skills.
Last May, her The Heat co-star Sandra Bullock dished to ET's Rob Marciano that their now infamous bar scene together was actually all improv.
"There was no script for that bar scene," Bullock disclosed of the hilarious scene. "It said, 'They get drunk and dance.'"