Comment by gkoberger

In this particular podcast, they have a three-piece band they work with every episode (guitar, drums and piano). The music is improvised just like the singing. Usually either the piano or guitar will start, the other two will join in. And then they follow each other.

They definitely rely on musical tropes they all know, for example "rock song" or "broadway song". But overall, it's a combination of them all being insanely talented, having worked together a lot, and once in a while cue-ing each other.

Here's an episode of another podcast they guested on (Switched On Pop) where they walk through their process (AND do an improv musical at the same time): https://switchedonpop.com/episodes/switched-off-book-with-je...

Also, if you want a quick video of them doing it, here's an example with them, the band, and Jason Mantzoukas: https://www.youtube.com/watch?v=yCI0gD_K27M