The British-Malaysian comedian studied at King’s College and was president of the Cambridge Footlights.
“I got to practice so much of my comedy in the early days at Footlights and at the ADC Theatre,” he told BBC Radio Cambridgeshire.
“I couldn’t ask for a better place to learn the ropes of comedy than Cambridge.”
Wang will be bringing his comedy show Wang in There Baby to Cambridge Corn Exchange on 30 September.
He will also visit other towns and cities, including St Albans, Northampton and Peterborough.
The 33-year-old said he enjoyed revisiting Cambridge and it had some of his favourite audiences on tour.
“It’s an intelligent city, and I think that counts for most whether or not a show will be good,” he said.
The Cambridge graduate, who studied a four-year engineering degree, was president of Cambridge Footlights between 2011 and 2012.
“I did my engineering degree as my day job and comedy was my passion,” he said.