The NBC sketch show aired a segment poking fun at Kardashian's recent separation from husband Kris Humphries over the weekend, which included promoting a fictional reality programme called Kim's Fairytale Divorce.
Speaking on Access Hollywood Live, Jenner said: "It was probably one of the funniest things I have ever seen in my life... I hate to admit it, but they had me spot on.
She continued: "You've got to laugh, it's Saturday Night Live for goodness sake! They've been doing these little spoofs on the girls for quite a while. What surprised me was the level they went to with the sets and dresses and clothes."
When asked whether she thought Humphries would have found the sketch funny, she replied: "I tell my kids, 'Don't take yourselves too seriously and always have a really good sense of humour' and we do.
"We have a good sense of humour about ourselves and we're laughing right along with them. It was great. I just hope he has a good sense of humour."
Kardashian's sisters Khloe and Kourtney have also revealed that they found the sketch funny, with Khloe telling followers on Twitter: "It's SNL... They r supposed 2 make fun. It's not who we are & I know that (sic)."
Kardashian filed for divorce from Humphries last week following 72 days of marriage, citing irreconcilable differences in the legal papers.
She jetted to Australia on a previously planned promotional tour after the news of the divorce broke, but has now returned to the US. She travelled to Minnesota this weekend for a meeting with Humphries which was also attended by the pastor who married them.
Jenner is currently promoting her new book Kris Jenner... And All Things Kardashian, which is available now.
Watch the SNL skit on Kim Kardashian's divorce below (US only):