Baldwin will return to host the season premiere, while McCarthy is to make her SNL debut in the second episode, reports The New York Times.
30 Rock star Baldwin will unseat Steve Martin as SNL's most frequent guest host when he appears in the season opener.
Musical guests are yet to be announced.
Executive producer Lorne Michaels recently told reporters at the Television Critics Association press tour that the entire SNL cast will return for the 37th season, according to TV critic Roger Catlin.
Lady GaGa revealed in May that she has been asked to host an episode of Saturday Night Live.
Saturday Night Live returns in September at 11.30pm ET on NBC.
> 30 Rock will continue without Alec Baldwin, says showrunner
> Seth Meyers: 'Saturday Night Live criticism is great'
Watch Justin Timberlake and Lady GaGa appear in the SNL sketch 'What's That Name?' below (US only):