The comedian is best known for his impressions of Russian President Vladimir Putin and former Vice President Mike Pence.
But with every new episode of the long-running sketch comedy show, comes new challenges.
Sometimes, he admitted, "I will work less on a character because I want to have fun with it."
"I found that the looser I am and the more fun I'm having with it is what makes it work for me. Sometimes when I'm like trying to get it perfect and just really get it right, especially with an impression… sometimes you can see me trying to do it or I can see myself trying to do that," Bennett described.
"I kind of try to let it go as much as possible," he said.
"SNL" is currently in its 46th season and will feature actor-comedian Keegan-Michael Key as its host this weekend while singer Olivia Rodrigo will be making her performance debut.
Last week, the show made headlines for featuring billionaire businessman Elon Musk as the host.
The show averaged 7.3 million viewers, making it the third most-watched episode for the season behind the ones hosted by Dave Chappelle and Chris Rock, according to Nielsen figures.
FOX's Liza Aristizabal and the Associated Press contributed to this report.