I remember this series well. It was a strange show heavy on clumsy improvisation where the hosts and even the contestants to some degree were in acting character. Surprised it lasted more than one series.
These were really well thought out. In one episode the agents were in a gym. The Major asked one agent where he would find a spy's possessions. The agent said "Possibly in his locker". The Major asked him "Which is his locker?" The agent said "The one on the end". The Major asked him "Why?" The agent said "Because it's got his name on it". The Major said "That's very alert of you".