In almost a decade of performing, the first gig Josh Dun and Tyler Joseph played together remains the most memorable.
"We got one song in, and it got shut down by the police," says drummer Josh.
It took place on a college campus, in "somebody's backyard", in their home state of Ohio.
"Before the police came, I remember thinking how exhausted I was after one song. Over time you learn to budget energy within a set."
Nowadays, fans are drawn to the band for that very energy, which charges through their sets.
Speaking before their appearance at Radio 1's Big Weekend in Middlesbrough, they say they've perfected their live show over time.
"We figured out who we were in front of no-one," says Tyler. "Every day we get on stage, we learn a little bit more."
Tyler was the founding member, with Josh joining in 2011 to create the duo that exists today.
Five albums in, the band now have a Grammy and are preparing to headline Reading and Leeds later this year.
"We feel prepared, we feel humbled, but at the same time we feel like we're going to destroy."
But the band stress there's been no overnight success.
"We put in those hours and those years on stage learning how to talk to a crowd, how to relate to a crowd and how to put on a show."
"We've been through many experiences where we'll carry heavy equipment up and down flights of stairs or figure out how to unlock our trailer because it's frozen shut."
Josh says they see other bands who are "really, really green" pushed into big performances early on in their career.
"They had to learn the hard way. We're really glad we were able to put in the time before all this happened for us."
For fans wanting new music, there might be a wait on your hands as the band are still promoting their fifth album, Trench, which has sold more than a million copies so far.
"We're not quite at the end of Trench yet. We've got more gigs through the rest of this year and through some of 2020 as well."
Both Josh and Tyler also say that while it's great discovering new music, people should never forget the songs that shaped them.
"It's Death Cab For Cutie for me," says Josh.
For Tyler, it's Ben Folds, who he's recently started listening to again.
"This individual was a big part of my life. It's cool to go back and realise how much I learned from him."
Finally, the band sadly didn't get to try Middlesbrough's legendary delicacy - parmo (chicken in breadcrumbs, topped with bechemel sauce and cheddar cheese).
We describe it to them as unhealthy but tasty.
"If we started a restaurant, that's our slogan," says Josh. "Deeply unhealthy, but deeply tasty."