The 30-year-old British actor played the Mother of Dragons and other Game of Thrones characters on Monday's episode of the late-night talk show.
"Why hello, Khal Drogo. Would you like to see my dragons?" he said as Daenerys before opening his robe to reveal fake breasts.
Harington also portrayed Cersei Lannister, Arya Stark, Ygritte, Hodor and a White Walker. He actually plays Jon Snow on the HBO series, which will return for a seventh season Sunday.
"This season is really different than any other season because it's accelerating toward the end, a lot of stuff collides and happens much quicker than you're used to seeing on Thrones," the actor told Entertainment Weekly in May. "It's quite exciting."
Season 6 left off with Jon being declared the King in the North, despite Sansa Stark (Sophie Turner) being the heir to Winterfell. Harington said in a new interview with Entertainment Weekly that Jon and Sansa will struggle for power in Season 7.
"There is definite tension between them right from the first scene," the star told the magazine. "There are the same problems -- she questions his decisions and command; he doesn't listen to her. But as far as where that goes or takes them or how dark it can get, we'll see."
"It gets past sibling squabbling, it gets into two people power struggling," he teased.