The 30 Rock creator told E! News that Lochte plays a key role in the seventh season episode.
"He played - if I may use this term on television - a sex idiot," Fey revealed to Ryan Seacrest on the Emmys red carpet.
The comic added humorously: "He was good at it!"
Lochte confirmed earlier this month that he shot his 30 Rock guest appearance during a flurry of media appearances in New York City.
30 Rock premieres its final season on Thursday, October 4 at 8/7c on NBC.
Watch a clip from 30 Rock's season six live episode below: