The pair first became friends in the 1970s during their time performing as part of the comedy troupe Second City, before they went to co-star in multiple TV shows and movies together.
"There's nothing sexier than laughing together and having someone who makes you laugh," Catherine said. "So everybody at Second City Theater tried to date everybody. Like, 'He makes me laugh, I should go out with him.'"
"And so we did. Maybe one or two dates? Maybe," she continued. "Thank goodness he's a gentleman, he's always been a gentleman, and we get to have this working relationship because we didn't go anywhere."
That working relationship has culminated with Schitt's Creek, on which Catherine and Eugene play a married couple, Moira and Johnny Rose, who share two kids David (Dan) and Alexis (Annie). The show is currently in its sixth and final season, but a reunion is not out of the question.
"I don't want to say the pressure's weighing on me like a grand piano, but, you know," Eugene's son, Dan, who co-created and produces the show, said. "I think that we've had so much fun. We didn't want to end it! The show just sort of ended itself."
"I hope that the idea for something substantial comes to me in the next few years and that we all get to play again because we had so much fun," he added. "So I'm gonna go ahead and say, yes, let's try to find something to do."
When ET spoke with Schitt's Creek actress Emily Hampshire, she praised Dan's decision to end the show.
"I have so much respect for Dan for doing this because it is hard on us that we have to end it," she said. "But, we also know he's ended it so well. Like, he could not give the fans a better ending to the show."
During the WWHL After Show, the cast opened up about their favorite episodes of the series, with Catherine opting for the first and final episodes, the latter of which Eugene called "lovely."
"I think I'm very proud of the coming out episode, but I think my favorite episode is our last," Dan agreed, before quipping, "And you haven't seen it yet, so that means nothing at this point."
Meanwhile, Annie opted for the "pretty special" moment of getting serenaded by Catherine's Moira in season three's "Grad Night," while also giving honorable mention to performing "A Little Bit Alexis" in season five.
"It was a lot of Britney and a sprinkle of Paris," Annie explained of her inspiration for the catchy track, which she wrote.
"She went kind of crazy and I went crazy because I love Kelly Clarkson," Eugene recalled of running into the singer backstage. "We were both excited... and then she walks out on stage and gives me a nice shout out."
"When you know you're going to lose the award, it's always good when the presenter proclaims that you're her favorite," Dan quipped of the award, which ultimately went to Bill Hader for Barry.