The British comedian is best known for his mockumentary movies such as Ali G, Borat and Bruno, in which he interviews unsuspecting people in character.
Playing such outrageous alter egos came with plenty of risks, and Sacha always had to know where his nearest exit was so he could avoid landing himself - and the respective film - in trouble with the law.
"We knew that if I got arrested then the movie was over, because they could take away my work visa," he explained to Rolling Stone. "For Bruno, we actually hired someone whose only job was to prevent me from getting arrested. In the end, the guy actually ended up breaking my ankle by getting me to climb out of a 14th-storey fire escape in Kansas and jump two floors down while wearing high heels and an S&M outfit that chained to my co-star. But I didn't get arrested."
The 44-year-old's latest movie, Grimsby, is more of a spoof spy film and while he is proud of the finished product, Sacha admits he does miss the adrenaline of his earlier work, but he believes his luck at avoiding arrest would have eventually ran out if he had continued.
"I do miss it," he said. "But I think it's a young man's game. When you do that stuff, you have to be prepared for a small amount of risk. And my philosophy was always: 'Well, if something bad happens, I'm single and everyone's going to be alright if I end up in hospital for two weeks.' Now that I'm married with kids, it's more difficult to justify."
Sacha has been married to Australian actress Isla Fisher since 2010 and together, they have two daughters.
While the star is happy to take less risks now he's a father, he will never stop striving for the ultimate laugh as a filmmaker.
"I don't think that anyone has the same twisted sense of humour that I do," he admitted. "What I'm striving for is this uncontrollable laughter that I find it very hard for me to experience. It goes back to when I went to see the (Monty) Python movies as a kid. I saw The Life of Brian when I was eight, and I remember being in the cinema with hundreds of people who were just rocking with laughter."