When Eddie Izzard telephones to ask why you gave up stand-up comedy, the least you can do is give it another go.

That is what happened to Phill Jupitus last year when the eccentric comedian called him. But the strange thing was, Phill didn’t think he had quit stand-up.

“Eddie called three months ago. I had not given up, but I haven’t done it for nearly eight years, since I got the BBC 6 Music breakfast show. Stand-up and breakfast radio don’t go together,” he says.

So, taking the advice of the comedian who gave him his first break, 47-year-old Phill took the brave step of returning to stand-up.

However, he didn’t do it in the UK but in New York, trading places with Flight Of The Conchords star Eugene Mirman, who unleashed his edgy comedy on the UK circuit.

The nail-biting process is captured in a TV one-off special called Comedy Exchange, which blends scenes of the duo preparing for their gigs by getting a sense of the local humour and meeting each other’s comedian pals, with footage from their performances and the crowds’ response.

Phill says it was easier to return to stand-up in a foreign country.

“If I had done four gigs in London and they were free, I would have been heckled,” he says. “But it is a real act of faith in the US, the audience gives you a chance. They don’t like heckling over there unless you are genuinely awful.

“But what was weird about it was no one knew me in New York, so I was not being pre-judged.”

But Phill admits he was not immune to the first-night nerves of telling jokes in front of a crowd.

“I was really nervous to start with,” he admits. “It took a few gigs to warm me up , but once I hit my stride I started really enjoying myself and could have carried on for much longer.

“My first gig was at the Pacific Standard bookshop in Soho. The second was, ‘I used to do this’, and after the third, I was really ready to do it, it was like sticking a broken mug back together.”

The gigs were a way to warm up before the final showdown, a stint with the improvisation troupe at the Upright Citizen’s Brigade club in New York’s trendy Chelsea neighbourhood.

Rather than relying on a self-penned script of jokes, improvisation requires quick wit and the ability to bounce off the other members of your troupe.

Phill admits he was terrified. “One of the scariest things for me performing was the improvisation. Those other people were relying on me, I didn’t know them and met them five minutes before we went on.

“I watched them doing the opening scenes and thought, ‘They are all right’. Just before I went on, I thought I could stand there all night with my back against the wall.

“It was a case of wading in and getting on with it and joining in and once I did that I was fine.”

In fact, he is now buzzing about bringing a stand-up routine to the UK, but since his return from New York he has been busy writing his autobiography and filming the latest series of BBC show Never Mind The Buzzcocks.

And he has also been donning a frock, wig and dance shoes for his turn in London West End musical Hairspray.

“It’s a long way from being a civil servant,” he jokes.

But Phill, who started out working for the Department of Work and Pensions, says he is pleased his career has straddled such different terrain.

“I went on to a job at a record company, working with The Housemartins and Billy Bragg. Then I became a cartoonist for a football mag and NME.

“I went on stage to read my own poetry then started doing improvisation. I have sampled so many different worlds. I even wrote a play for Edinburgh Fringe.”

Unlike many other comedians of his ilk, he does not front his own television series.

“I don’t stay awake at night thinking I don’t have a TV vehicle. I’ve sung with the Blockheads and the Bonzo Dog Doo Dah Band.

I always wanted to be a rock star and I’ve done that, as well as spending 10 days in Brazil doing the movie Mike Bassett: England Manager,” he says proudly.

Phill, who has two daughters with his librarian wife Shelley, says he is content with his lot.

“Life has always been the main thing. Work fits around life, especially since the daughters came along. I have paid for my house and I have a few bob in the bank, so I am happy.

“But if it did all end tomorrow, I would be quite happy to end up as a book illustrator.”

• Comedy Exchange is on March 19 on Dave.