McCain, who is trailing Democrat Barack Obama in most battleground state polls, also appeared during the show's "Weekend Update" newscast to announce he would pursue a new campaign strategy in the closing days of the campaign.
"I thought I might try a strategy called the reverse maverick. That's where I'd do whatever anybody tells me," McCain said.
And if that didn't work, "I'd go to the double maverick. I'd just go totally berserk and freak everybody out," the Arizona senator quipped.
Earlier in the show, McCain and Fey's Palin, said they couldn't afford a half-hour campaign commercial on network television like the one Obama aired earlier this week. They said they'd sell campaign products on the QVC shopping channel instead.
Among other things, McCain advertised a set of knives to cut through pork in Washington. His wife, Cindy McCain, briefly appeared to advertise "McCain Fine-Gold" jewelry, a play on the campaign finance law McCain authored with Wisconsin Democratic Sen. Russ Feingold.
Fey's Palin advertised a set of "Joe" dolls commemorating "Joe the Plumber," "Joe Six Pack" and her Democratic rival, Joe Biden. She also pulled out T-shirts saying "Palin 2012" and announced she wouldn't be returning to Alaska after the election.
"I'm either running in four years or I'm going to be a white Oprah," she said.
Obama said Sunday that McCain was funny. Addressing supporters in Ohio, he said the performance was an example of how politicians can fight on the issues but bring civility to politics by having a sense of humor.
Obama said he missed seeing "Saturday Night Live" -- he was in a motorcade in Missouri
-- but caught up by watching it on YouTube.