Jonah Hill was hosting the sketch series for a third time and was making his opening monologue when fake members of the audience kept jumping up to quiz him about working with the Hollywood hunk on hit new film The Wolf of Wall Street.
Hill joked that DiCaprio wasn't even meant to star in the film, insisting director Martin Scorsese asked him whether they should hire the superstar.
During Hill's rant, DiCaprio walked on to the set to rapturous applause from the audience.
Joining in the skit, he told Hill: "I actually came here to support you, I've been backstage the whole time... why don't you just be honest about what you're doing right now."
The funnyman sheepishly replied: "I was, like, being a big shot."
The pair rounded off the opening sequence by recreating the iconic 'I'm flying' scene from Titanic, with Hill taking Kate Winslet's place while DiCaprio hugged him from behind.
DiCaprio wasn't the only one of Hill's former co-stars to make an appearance - his Superbad pal Michael Cera also turned up in a parody of movie Her.