But this time, the character wasn't played for laughs.
Dressed in a black-and-white pantsuit, the defeated, presidential candidate sat alone at a piano, and performed the late Leonard Cohen's mournful anthem, "Hallelujah."
When she finished, she declared: "I'm not giving up and neither should you. Live from New York, it's Saturday night!"
McKinnon has been playing Clinton on SNL for more than a year. Last week's episode saw her Clinton and Alec Baldwin's Republican contender Donald Trump making peace before heading out to New York's Times Square to mingle with tourists.
Trump won the U.S. presidency early Wednesday and Cohen died Thursday at the age of 82.