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Jennifer Aniston, Lisa Kudrow and Courteney Cox Recall Their Experiences with SNL

The ladies of Friends each have their own Saturday Night Live stories to tell.

Jennifer Aniston, Lisa Kudrow and Courteney Cox reflected on fame and opportunities before the iconic sitcom during an appearance on Wednesday's episode of SiriusXM's The Howard Stern Show. Host Howard Stern spoke with the trio, all of whom went on to host SNL during Friends' run on NBC from 1994 to 2004.

Aniston, 52, was actually offered a chance to audition for SNL before filming Friends but ultimately passed on the opportunity.

"I was such an ignorant kid. I just had this idea that the men don't treat the women well on this show and I wouldn't want to be … the gall that I had," she said Wednesday as Kudrow, 57, added, "By the way, fair enough - you know the work situation you were going into, and you'd rather not. She was right."

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Aniston, who has known former SNL stars Adam Sandler and David Spade for years, called SNL "a boys' club," and Kudrow praised her friend on her "instincts." Cox, too, applauded The Morning Show star. "You're not insecure like that. ... I always thought Jennifer was the person I always looked up to, [she] just knows what she wants, she enjoys life. You've always taken care of yourself in that way," Cox said.

Aniston credited the quality to her parents. "They made unconscious sacrifices for me - they showed me, 'Oh, I don't want to have that experience.' I'm going to have a joyful experience. I'm going to find joy in this life. That I did know," she said.

RELATED: Jennifer Aniston Says She 'Felt Comfortable' Wearing 'Tighter' Clothes Filming Friends

Frazer Harrison/Getty; Timothy Hiatt/Getty

Elsewhere in the interview with Stern, Kudrow recalled auditioning for SNL at The Groundlings, though actress and comedian Julia Sweeney was ultimately chosen over her. (Sweeney was a cast member from 1990 to 1994.)

"That was the right thing. I don't think they were seriously looking at me. I think it was, 'As long as you're looking at Julia, take a look at her, too,'" Kudrow said. "And I know Laraine Newman, that was everything to me, I don't care what happened next. That Laraine Newman thought I was good enough to say, 'You guys should look at her.' But mostly they were there for Julia, for real." (Newman was the founding member of The Groundlings and an original SNL cast member.)

RELATED: Lisa Kudrow Says Jennifer Aniston, Courteney Cox 'Came Running' to Support Her After Mom's Death

Al Levine/NBCU Photo Bank/NBCUniversal via Getty

As for Cox, 57, she was among the first Friends stars to host SNL. "I was green. I was not [nearly] confident enough to do that show. Now I'd love to do it. No one's asking me to do it, but man I was too young," said the actress.

Listen below to our daily podcast PEOPLE Every Day for more on Jennifer Aniston, Courteney Cox and Lisa Kudrow's interview with Howard Stern.

"I remember where I was when I got the call and I thought, 'Oh my God, this is huge.' I was not experienced enough to do that show. Now I'd love it," Cox continued. "I think the opening skit, even though I was nervous, was really kind of funny, because Adam Sandler and I, we were doing a take on the Bruce Springsteen video. ... I mean, I don't think it worked that well but I loved it. It was fun. I think I lost like, 48 lbs. in one night, I was so nervous."

Cox and David Schwimmer hosted SNL in 1995, followed by Kudrow in 1996 and Matthew Perry in 1997. Aniston hosted in 1999 and 2004. Matt LeBlanc has yet to host.