That was them singing with Roger Waters at Xcel Energy Center last month. They also performed on “A Prairie Home Companion” at the Fitzgerald earlier in the year. They taped a special for 89.3 the Current in the Minnesota State Capitol’s rotunda in February. And they were literally and figuratively the brightest thing about the 2015 Rock the Garden lineup.

In each case, the always boldly attired Jess Wolfe and Holly Laessig — who also played a couple of First Avenue shows amid all those others — looked conspicuously different from their prior appearances. Yet their hair-raising vocals, not their eye-catching images, were what people always remembered most about them.

With and without their harmoniously poppy and jaggedly rocky band Lucius, the New Yorkers have played some of the prettiest venues and coolest gigs Minnesota has to offer. That trend continues Saturday when they take on the State Fair grandstand with Phantogram.

“It’ll be a new thing for us, but we’re game,” cracked Laessig, whose gamesmanship is already well proved in the Twin Cities.

Reached by phone two weeks ago from Los Angeles — where they were getting started on making Lucius’ third album — the two seemingly inseparable singers were still marveling over the chance to sing with Waters, including more shows with the Pink Floyd legend through late October. The Minnesota State Fair is actually their only Lucius gig in the interim.

“It’s been very exciting and just mind-blowing to be a part of the tour,” Wolfe said, “especially since it’s such a theatrical production, which is something we value.”

The women first met Waters before a surprise appearance he made with My Morning Jacket at the Newport Folk Festival in 2015. At first unsure about their role, Wolfe said she and Laessig were playing it low-key in rehearsals until “Roger looked over at us at one point and told us to ‘man up.’ ”

That same encouragement continued on Waters’ own tour, where the bandleader has let them cut loose on several songs, especially the “Dark Side of the Moon” showpiece “The Great Gig in the Sky,” originally helmed by British session singer Clare Torry.

“As much as we revere [Torry’s] original version and want to honor her contributions to that landmark record, the song really lends itself to vocal improvisation, and we only thought it appropriate to put our own spin on it,” Wolfe explained, adding, “Our version is naturally going to sound different because there’s two of us.”

‘Forever Ago’

Wolfe’s and Laessig’s tightly interwoven two-woman vocal approach — sometimes precisely harmonious, sometimes daringly dueling — is certainly the big thing that sets Lucius apart. However, the group’s 2016 sophomore album, “Good Grief,” also featured a more distinctive, innovative Roxy Music/Talking Heads-type instrumental sound.

Laessig and Wolfe were quick to credit bandmates Dan Molad (drummer) and Peter Lalish (guitarist) for helping shape the band’s overall sound. The singers started out as a duo after they met at Berklee College of Music in Boston in the late-’00s, at a time when a certain Midwestern indie-rock hero was just becoming a big deal.

“We were listening to Bon Iver’s ‘For Emma, Forever Ago’ a lot, and we really thought we would just do that same kind of unique-sounding, new folk record,” Laessig recounted, emphasizing the role that Molad then played with his producer experience. “Once we were working with Danny, we just kind of put everything we had in a bucket and stirred and stirred to see what we’d come up with.”

After signing with Wilco’s management team — Wolfe and Laessig would later serve as backup vocalists for some of Jeff Tweedy’s “Sukierae” concerts — Lucius came out of the gate with a strong buzz for their debut album, “Wildewoman.” And then they did what most young buzz bands do: toured for two years straight.

Laessig and Wolfe said all that road work not only helped tighten and expand the musical tone of the second album, but also set an emotional backdrop for the songs, including the frantic-sounding single “Born Again Teen.”

“It was pretty rough DIY touring at that point — all of us crammed in a passenger van and doing the 6 a.m. morning shows and whatnot — so we were all in a weird head space by the time we got around to recording again,” Wolfe explained, as Laessig pointed to the double meaning of the album title.

“It was the kind of ‘good grief’ you say when you’re exasperated about something,” she said. “But it was also sort of a celebration of the good that comes from the pain and chaos, what you take out of the experiences and how you grow personally.”

Likewise, as they were just getting started on making the next Lucius record, Wolfe said she expects their Roger Waters experience to leave its mark on their songwriting.

“Things are pretty raw now, but I wouldn’t be surprised if a little of that Pink Floyd influence plays a role,” she said. “I don’t really see how we could avoid it, since this has been such an inspiring experience.”

Here’s what Lucius’ singers said about their widely varied Minnesota gigs over the past couple of years:

Roger Waters’ Us & Them Tour (Xcel Energy Center, July 26): “It’s been a rewarding challenge for us, because we have such a heavy visual and vocal presence in our own band,” Wolfe said. “We have to step outside that mind-set and do what we can to support Roger’s vision, which is obviously amazing. He’s really encouraged us to put our own stamp on it, but we feel lucky just to get to play that support role.”

“A Prairie Home Companion” with Chris Thile (Fitzgerald Theater, Feb. 11): “Even though they were still in a new phase [following Garrison Keillor’s departure], it was still very impressive to see it run like a well-oiled machine,” Laessig remembered. “It felt like joining a family. That theater is amazing and such a legendary stage, but it also felt like we were playing in somebody’s living room.”

89.3 the Current’s Microshow at the State Capitol (Feb. 10, online at thecurrent.org): “The fact that we were able to go into that incredible building and make it our own performance space for a few hours really speaks well about support for the arts in the state and the Current,” Wolfe said. “It really felt like a thoughtful, curated experience.”

Rock the Garden 2015 (Walker Art Center): “I think that was the first time we shared a bill with Courtney Barnett, who we’re big fans of, so that was one reason we loved it,” Wolfe said. Laessig recalled seeing the painting by Belgian artist Evelyne Axell that graced the cover of Lucius’ debut album “Wildewoman,” then on display at the Walker: “It was so cool to see that ice cream painting on billboards around town for the museum at the same time. It made it all seem like the perfect match-up on multiple fronts.”