On paper it sounds a bit silly and in different hands it might have been a shambles, but the self-confessed "British nerd triumvirate" turn it into a rollicking good time.
In the flesh, Pegg, 43, is exactly as I'd imagined: funny, self-deprecating and as endearing as an over-enthusiastic puppy. Nothing at all like Gary King, the character he plays in The World's End. Once the coolest kid in school, Gary is now a pathetic, alcoholic drop-out unable to move on.
"Gary's life hasn't turned out the way he thought it would, so he clings to this one night more than 20 years ago which was the pinnacle of his achievements. He is, frankly, incredibly irritating."
So a bit of a stretch, then?
"Not at all," says Pegg, roaring with laughter. "But there's a deeper tragedy with Gary than you realise. He's on the run from a psychiatric institution and has long anaesthetised his depression with alcohol and drugs. As an actor it's much more fun to play a character that you challenge the audience to love."
It's Pegg's sixth collaboration with Frost, a man he clearly adores, and the pair were last "seen" here in Peter Jackson's Tintin as the moustachioed detectives, the Thompson Twins.
For The World's End, they seem to have recruited every British actor with an equity card, including Martin Freeman, Paddy Considine and Eddie Marsan as Gary's reluctant drinking buddies, Rosamund Pike as the love interest, Pierce Brosnan as the zombie leader and Bill Nighy as the voice of the alien computer.
It's somewhat ironic that a man who no longer drinks should star in a film about a pub crawl, but the godfather of Apple, Chris Martin and Gwyneth Paltrow's daughter, says his muscle memory is strong.
"I only gave up drinking when I became a father [daughter Matilda is four] because it didn't really tally with my responsibilities as a dad. So it wasn't hard to remember what it's like to be drunk."
With roles in Mission Impossible, How to Lose Friends & Alienate People and the Star Wars reboot, Pegg is part of the furniture in Hollywood.
But Kiwi audiences probably know him best from Brit comedies such as Spaced, Run Fatboy Run and Paul, in which he and Frost play ultra geeky sci-fi fans who find an alien while on holiday in the US.
He also found room in his CV to voice characters in the Ice Age animated series, Tintin and the upcoming Boxtrolls.
Yet despite having three successful zombie movies to his name, Pegg believes the zombie well has run dry. "I'm pretty sure this is our last zombie film. Everyone's doing it these days - the undead are running all over the place.
"But what I fell in love with about zombies has been lost with these new films. I think it's time to leave the corpses alone and move on ..."
The World's End is in cinemas now.