The 'Skyscraper' actress - who grew up in Ontario, Canada - was totally clueless about American pop culture until she got involved in the movie industry and admitted hosting the iconic comedy series at the height of her fame in 1997 was ''wasted'' on her as she was so ''clueless''.
She said: ''I just didn't know American pop culture at all. ''And then suddenly I became an actor and suddenly these things were happening to me.
''I wasn't that familiar with ['SNL']. I was terrified! And then I found out that my musician was David Bowie, and my friend was like, 'David Bowie? Oh, my God!' And I was like, 'Who's David Bowie?' I had no idea. That experience was so wasted on me, 'cause I was clueless! Like, absolutely clueless!''
But the 'Scream' star ensured she had a brief introduction to the music of the late 'Space Oddity' hitmaker - who died in January 2016 - and was able to fake enthusiasm.
She said: ''I acted like I knew him really well! Like, 'You're amazing. You're just fantastic.' Actually, my friend gave me some of his CDs before, so I listened to him.''
Over the last 10 years, the 44-year-old actress has become more selective about her roles and left America for a quieter life in London.
Appearing on 'The Late Show', she said: ''In my twenties, it all hit so fast and so big that it was a little overwhelming - wonderful, obviously, and I'm very grateful for it.
''But it got to a level also where the kinds of things that I was being offered were not the kinds of things I want to do.
''I was constantly being offered horror films, because I was known for horror films. Or bad romantic comedies. I just wasn't interested in the scripts and I was feeling a bit unhappy with the things that were coming to me. And I was feeling a little bored with the whole thing. I thought, 'I want a change.' So, I moved to London.''
And Neve had a ''lovely'' experience in the UK.
She said: ''I was completely anonymous there. It's just very different there. I literally did not get bothered once! People would ask me what I did for a living. I'd say, 'I act,' and they'd say, 'Oh, OK.' It was so lovely!''