Piscopo appears Wednesday for third time on the popular NBC series, the New York Post reported Monday.
"I play a Steven Segal type character named Jaret Whitestone. He's an action movie star who gets on the wrong side of the tracks and is suspected of killing someone. They've got me running off to a monastery in Mongolia and then I have to come back and give a deposition," Piscopo said.
The actor/singer will be at New York's Toys 'R' Us in Times Square Thursday for the launch of a "SNL" edition of a Trivial Pursuit DVD for Hasbro.
Later this month, Piscopo and wife Kimberly are expecting another child.
Piscopo's annual Positive Impact Benefit for at-risk children is planned for Jan. 22 at Caesar's in Atlantic City, N.J. Fellow "SNL" alums Dan Ackroyd and Jim Belushi are slated to attend.