"My gripe, if there's any -- and I really don't have many -- [is that] I'm a sentimental guy and I would have liked to have been given the chance to do some proper goodbyes and thank yous to all the people I worked with for six years," Killam explained.
Despite the abrupt nature of his exit, in which he was let go from his contract a year earlier than expected, Killam admitted that he's somewhat relieved to not have the hectic pressure of putting on a 90-minute show every week.
"I'm certainly at a place in my life professionally, and more importantly, personally, where I was ready to sort of retire from the chaotic schedule that is SNL," he explained.
However, that doesn't mean he doesn't still have a lot on his plate. Aside from the release of Brother Nature, he's also working on his directorial debut, Why We're Killing Gunther -- in which he is set to star opposite his wife, Cobie Smulders, as well as Arnold Schwarzenegger.
Killam shared that the outpouring of love and support he received from his fans after news of his departure broke was "very moving," adding that he's "probably been more emotional about that than anything else."
"People reaching out with specific stories and specific sketches that they like has really meant the world to me," he said. "It was very, very flattering and -- to sound completely cliché and hacky -- is 100 percent why I do this, to make people happy."
Perhaps one of Killam's most memorable recent sketches came about when Star Wars: The Force Awakens star Adam Driver guest hosted the show. Driver starred as his Star Wars character, Kylo Ren, in an epic parody of the reality series Undercover Boss. As it turns out, that pre-taped sketch also happens to be one of Killam's favorites as well.
"I've been asked a couple of times, 'Oh, you didn't get a goodbye sketch,' or whatever, but there's no experience that's going to top shooting Kylo Ren: Undercover Boss with Bobby [Moynihan] and Mikey [Day] and Adam [Driver] -- up until six o’clock in the morning, laughing hysterically in the most beautifully built imperial [Starkiller Base]," Killam recounted.
Moynihan said he agreed with Killam about the experience, adding, "When I think of Taran on that show, weirdly enough [the Undercover Boss] sketch, the Michael Keaton monologue, B108 -- I hold a big place in my heart for that."
When Keaton guest hosted SNL in April 2015, Moynihan and Killam appeared alongside the Birdman star during his monologue to share their love of his films Batman and Beetlejuice in the form of a huge musical number.
However, fans can still watch the two bring the laughs in Brother Nature, which is currently in select theaters and available On Demand and Digital HD.
The pair team up as soon-to-be brothers-in-law in the outrageous, feature-length film written by Killam and newly-added SNL cast member Mikey Day, and directed by Oz Rodriguez and the late Matt Villines. Check out an exclusive clip from their new comedy below.