The British actor, 53, joined the Mission Impossible franchise in its third instalment released in 2006.
He’s since starred in three more Mission Impossible movies opposite Cruise, 60, with the next – Mission: Impossible – Dead Reckoning Part One – out 12 July.
In the latest edition of BBC Radio 4’s Desert Island Discs, Pegg told host Lauren Laverne that he avoids talking to Cruise about his controversial faith in the Church of Scientology.
“I don’t ask him about stuff like that because I feel that would be me abusing my privileged access that I get to him, you know what I mean?” Pegg explained.
Cruise is Scientology’s most famous follower. The religion and its leader David Miscavige have been accused of bilking supporters for cash, separating members from their loved ones, and harassing and threatening journalists and critics.
Pegg added that his relationship with Cruise is “just very simple and amiable. We’re friends.”
“It’s always been a very easy relationship. I think you realize, when you meet the person rather than the thicket of mythology that’s built up around them, it’s a different experience,” he said.
“I mean, he loves the fame and he really relishes it, it’s all he knows. It energizes him and spurs him on.”
Pegg also said he “makes fun” of Cruise for his fame and “the things that he can access”. He recalled: “We were filming in South Africa recently on this mountain and then he decided he wanted to swim with sharks.
“He flew us in a helicopter to this seaside part and we dived with sharks. At the end of the day, we said, ‘That was a real Tom Cruise kind of day.’ He kind of appreciates the ridiculousness of it sometimes.”
Elsewhere in the interview, Pegg reflected on hiding his alcohol addiction while on the set of Mission: Impossible III.
Mission: Impossible – Dead Reckoning Part One is out in cinemas 12 July.