Wright directed the trilogy, which consisted of Shaun of the Dead, Hot Fuzz, and The World's End, whereas Pegg and Frost took starring acting and writing roles in each instalment.
Now, Pegg has said that he can't wait to get back onto the set with his two pals for more.
Speaking at a press event for the launch of his new Amazon Prime Video show Truth Seekers, Pegg told LADbible: "I'll definitely do another film with Edgar - we're gonna do another film at some point.
"I mean, that's not a question, really.
"It's just that the question is when we can marshal our respective diaries and get the time to write a movie together."
"We talk all the time, we're friends before we're colleagues, and whenever we are together, we say, 'Oh, what are we going to do, what should we do, when are we going to do it?'
"But - you know - we have respective commitments and they get in the way of that, but at some point, the stars will align."
One thing we can be sure of is that a second Shaun of the Dead film is not on the cards.
"Why on earth would we do that?" Pegg asked.
It's a fair point, everything wrapped up in quite a nice little package at the end of the first one.
Speaking about the special relationship he enjoys with Frost, who also stars in Truth Seekers, Pegg explained: "We have a very fraternal relationship.
"We've been friends since we were [in our] early 20s and we are kind of like brothers, that's how our relationship has been.
"As we've got older and got married and had children and stuff, our lives have diverged.
"We live in different parts of the world now, and we speak a lot, but we don't see each other that much - only when we're in the office or when we're working together.
"We create the work so we can hang out with each other, because otherwise there just isn't the chance to, with life and everything."
Truth Seekers tells the story of a group of amateur paranormal investigators who travel the UK checking out spooky goings-on and sharing their findings online.
However, as the series progresses, they start to discover that there is more to what they're seeing than just the supernatural, and uncover a potentially earth-shattering conspiracy.
It's available to watch on Amazon Prime Video right now.
Chosen for YouChosen for You
Most Read StoriesMost Read