Kate McKinnon Shares the Two SNL Sketches that Made Her Feel 'Most Connected' to the Audience

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Kate McKinnon opened up about the Saturday Night Live moments she cherishes most from her decade on the show.

"I will share two moments when I felt most connected," McKinnon, 38, said on Vulture's Good One podcast.

"One was after Hillary [Clinton] had lost [the 2016 presidential election], and the cold open was me playing 'Hallelujah' on the piano," she revealed. "I felt that for the people for whom that was a tragic event, I felt very connected and in a very real way."

McKinnon continued, "I also felt really connected that first time when I did the alien abduction sketch. It was a completely different experience — people were laughing instead of crying — and yet it was the same recognition of, like, We're all in this together, guys. We all feel the same way about something."

RELATED: Kate McKinnon Says She 'Felt Like It Was Time' to Leave Saturday Night Live: 'My Body Was Tired'

Fittingly, when McKinnon left SNL in May, the cold open for that night's episode featured McKinnon revisiting her alien abductee character. This time she was jetted off in a spaceship once and for all in an emotional and fitting goodbye.

Though McKinnon knew the sketch would be significant, she was surprised how hard it her on the night.

"I anticipated it being this moment of absolute release, and it was, in a way. But it certainly was not the most meaningful moment of the whole thing … Jesus Christ, Kate, come on, get it together," she explained emotionally.

"It was not the most meaningful moment of the decade in the way that I thought it might be. The most meaningful moments, just looking back, were like—," McKinnon trailed off into tears.

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Through the emotion, McKinnon shared details from a relatively normal moment that will serve as the best reminder of her final days on the job.

"The most meaningful moments were moments when, like on a Friday night at rehearsal, I decided to stop and look around at the people who I loved so much and just make a memory of it," she continued.

"Nothing special — we were all just sitting around, and Mikey [Day] was doing a bit, or Alex [Moffat] was doing a bit, and we were catching up and just looking around at the crew. Those are the moments that meant the most," she shared.

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McKinnon wasn't the only SNL star to leave at the end of season 37. She departed alongside Pete Davidson, Aidy Bryant and Kyle Mooney.