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The longtime CNN chatshow host visited the set of the show to tape interviews with producer Lorne Michaels and cast members Fred Armisen, Amy Poehler, Kristen Wiig, Seth Meyers and Andy Samberg.
According to the New York Post, King told the show's producers that he wanted to appear on the long-running sketch comedy programme.
He also reportedly gave Armisen some tips on impersonating him.
It was revealed last month that King may continue to host his chatshow until the end of the year, as replacement Piers Morgan is struggling to obtain a work visa.
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