Wiig offers her thanks to Jagger for teaching her about drug use and explicit sex in one clip, with the Rolling Stones frontman feigning embarrassment at her boorish behaviour.
The legendary musician is also goaded by Wiig into revealing that 'Mick Jagger' is actually a character played by "Australia-based performance artist Shane Kendall".
Jaggers hosts SNL solo for the very first time this week and he will be joined by musical guests Arcade Fire, Foo Fighters and Jeff Beck.
This weekend's Saturday Night Live season finale could be the last episode for Wiig, Andy Samberg and Jason Sudeikis, who are all reportedly leaving the series.
Saturday Night Live airs at 11.30/10.30c on NBC.
Watch Mick Jagger in a previous SNL cameo appearance: