But Cookie Monster said he was struggling to develop a taste for another classic Antipodean food, Vegemite.
"Me not sold on the Vegemite. Me not sure what's going on there with the Vegemite.
"Maybe one day me try it. Me not afraid of trying new foods."
Cookie Monster, who admitted in 2010 that he didn't just eat cookies after claims he was promoting obesity, said he was starting to enjoy vegetables.
"Me not only eat cookies. Me like vegetables, fruits, carrots are yummy. Me like the crunch."
Elmo, who has visited New Zealand before but won't be making the trip over for his current tour, said the only thing that made him sad was when his friends got sick.
"When they're sick Elmo tries to make them happy. I play games to make them feel better. I'm happiest when everybody is happy.
Both admitted they were big Flight of the Conchords fans, and were game for a bungy jump if they ever came to New Zealand together.
* Sesame Street screens on Four at 6am and 2pm every week day.
- Herald online