Ferguson is the host of CBS' "Late Late Show."
People.com said Ferguson married Cunningham, an art dealer, some time during the holidays.
"The wedding took place in Vermont, where they have legalized gay civil unions -- and I married a woman," Ferguson said, showing off his wedding ring and joking, "It's not just bling."
Ferguson was married twice before and has a 7-year-old son.
Pistorius testifies he didn't consciously pull trigger when he shot girlfriend
Biologists detail four new deep-sea 'killer sponges'