Sanz was with the Upright Citizens Brigade from its beginnings in Chicago. He fondly recalled those daring early days in an interview with New York Magazine, saying, "How awesome would it be to be arrested in front of this audience, and have them thinking, Did they plan this? How did they get that cop car? What's going on? So I just kept chanting, 'Kill Rostenkowski! Fight the power!' as they were throwing me in this cop car. After the car pulls away, I'm like, 'I'm an actor, by the way.' I spent the night in jail.' "
In addition to his stint on SNL, Sanz appeared on the Comedy Central shows Big Lake and Nick Swardson's Pretend Time.