The comedienne, who currently performs in a Prince tribute band, formed a group called the Supersocks with her friend Gretchen while studying at the University of California, Santa Cruz.
And the girls became so popular, they were asked to open for the Don't Speak hitmakers when they came to town early in their career.
Rudolph tells U.S. Tv host Jimmy Fallon, "We were, like, a big deal. We were, like, one of the big bands in town. Like, when No Doubt came, we opened for them. It was really exciting."
And the 40 year old reveals she and Gwen Stefani bonded over their love of consignment shops: "We came off stage and she's like, 'You guys were really good. Do you know any thrift stores in town?'"