'Maya & Marty' 's Maya Rudolph and Martin Short Dish on Their Kids – and Their Famous Pals

Maya Rudolph has starred in film, TV and the live stage, but there’s one place she isn’t allowed to be the center of attention – her own living room!

“We have a lot of living room shows,” Rudolph tells PEOPLE of her family, “but I’m usually told to sit down and watch!”

Rudolph has three daughters and a son with husband Paul Thomas Anderson: Pearl Minnie, 10, Lucille, 6, Jack, 4, and Minnie Ida, 3.

“They’ll dance to anything,” she says of her brood, “They’re natural hams.”

Bespite stealing the spotlight, the actress says her oldest daughter is “very proud” of her famous mother, even though Rudolph keeps most of her work under wraps.

“Half the stuff I do is far too blue for my children,” she says, adding, “I shelter them, they’ve never seen half the things I do.”

The former Saturday Night Live cast member is costarring in a new variety show, Maya & Marty where she channels her inner fashionista. She and costar Martin Short (who revives his notorious character Jiminy Glick in the series) sat down with PEOPLE to chat about their latest endeavor.

Short, 66, admits that he too shielded his kids from his work when they were young.

Through a smile he recounts a time when his son Oliver came home from a friend’s house asking, “Hey Dad, did you know you made a Western movie named Three Amigos?”

“That’s the best thing I’ve ever heard,” says Rudolph, 43.

Short’s kids are all grown-up now and have free range of their dad’s work, and Short says the three of them tune in for Maya & Marty.

Also taking a turn as guests to (and in their cases on) the show have been Tina Fey, Miley Cyrus and Tom Hanks, to name a few.

“Many of them are our old friends,” Short says of the the guest lineup.

“We’re also across the hall from Jimmy Fallon,” Rudolph adds, (the Tonight Show host has also stopped by Maya & Marty.)

“It’s quite a hip hall,” Short jokes.

As for a dream guest, Rudolph would love to sing alongside Sia: “Her voice is bananas!” While Short is taking a more serious route: “I think [President Barack] Obama or The Pope would be fun.”

Maya & Marty airs Tuesdays (10 p.m. ET) on NBC; this week’s episode features Ana Gasteyer, Ricky Gervais, Kevin Kline and Cecily Strong.

Tuesday night’s episode will also feature a special performance of the Orlando tribute single, “What the World Needs Now Is Love,” which is available to purchase on BroadwayRecords.com and iTunes – all proceeds go to the GLBT Community Center of Central Florida.