The comic shared the stage with McCartney to perform a rare demo version of The Beatles' 'Yesterday' on Late Night with Jimmy Fallon and has also spoofed Willow Smith's 'Whip My Hair' with Bruce Springsteen.
Fallon has now admitted to Parade that he was totally intimidated to perform with the rock music icons.
"I couldn't believe it was happening! I grew up idolizing these singers. You couldn't get bigger than Paul McCartney in my house," Fallon commented.
The presenter also discussed his roots in comedy, which he traced back to his childhood.
Fallon explained: "I always wanted to make the teacher laugh. One of my big jokes in fourth grade was when I pointed to a nun's habit and said, 'Is that felt?'
"And she said, 'No', and I rubbed my hands on it and said, 'Now it is!' I thought I was so funny. I found the right job, I think."
Fallon's latest comedy album Blow Your Pants Off was released earlier this month.
Watch Jimmy Fallon perform with Bruce Springsteen below: