The Trip to Spain review: Steve Coogan and Rob Brydon get stuck into food and death

When Steve Coogan and Rob Brydon go away together, things can get crowded. Their conversation, always prickly and often hilarious, is interrupted by Richard Burton and Anthony Hopkins, shouted down by an eruptive Al Pacino or a wheezy Michael Caine, moped over by Alan Bennett, and interrogated by almost all of the Bonds.

But for all that sharp mimicry, the slyest impersonations that Coogan and Brydon give are of themselves: a petty narcissist and an excitable chatterbox, bickering about their careers, dining in style, consumed with death and singing all the way.

The Trip to Spain (Sky Atlantic, Thursday, 10pm), the third iteration of director Michael Winterbottom’s deceptively simple comedy, is initiated, as ever, with the flimsy pretext of reviewing restaurants for a newspaper, an adventure for which Coogan needs an accomplice. “Great,” he says, with light laceration when Brydon agrees yet again. “Well, my people will be in touch with… oh… you.”

Who else would have them? Coogan’s . . . oh . . . Coogan is a libidinous loner with few interests beyond himself. Brydon’s Brydon, on the other hand, is too eager to impress, hiding behind so many impersonations it’s as though he alone leaves no impression. “How nice to hear your voice,” his wife says in this series, with no apparent irony, when he phones in the style of David Frost.

And yet there is such substance in the show. In the first two series, the pair followed the journeys of Wordsworth and Coleridge in the north of England, and Byron and Shelley in Italy, for which Winterbottom found wry (usually undercutting) parallels of creation, mortality, posterity and raging appetites. This time, literary allusions are more muted, although Coogan is fascinated with the tragic arc of Laurie Lee's return journey, and Brydon with the comic double act of Cervantes's Don Quixote – their first attempt to see another country from a perspective that is not British.

Between some hilarious goofing (mostly improvised; it's a delight to see Brydon geting Coogan to crack up) and constant ribbing, they are frequently led towards mordant reflections on mortality. In series one, Coogan imagined giving Brydon's eulogy. In series two, they held skulls and quoted Hamlet. Here in San Sebastian, dining al fresco on grilled fresh fish, Brydon already envisages mercifully executing his comrade. "It's grotesque that we talk about death," he says later in the series. But such dark undercurrents make happiness – sometimes as fleeting as "life-affirming butter" – taste all the sweeter.

It’s why watching the show feels like such a gorgeous escape, and why, you feel, you should really be planning a holiday.