Harington, who portrays Jon Snow on the HBO drama, said on Thursday that "bad taste" was the theme of Leslie's costume party in celebration of her 30th birthday.
"I thought, you know, what's worse taste than going as the character you play in the show you're on?" Harington said. "So I did, thinking it was really funny."
Harington said, however, that not everyone at the party understood what he was going for and that the Jon Snow outfit was purchased from a costume store.
"They were looking at me like 'Is this where you get your costumes from?'" Harington said about the reaction at the store.
Harington, 32, and Leslie, also 32, who appeared on Game of Thrones as Jon Snow's former love interest Ygritte, tied the knot in June after dating for nearly six years.
The actor said a famous Game of Thrones line that Ygritte said to Jon Snow was referenced by his brother during the wedding.
"I hate it when people say it and my brother managed to get it into the end of my best man's speech. It was quite sweet actually. He said, 'But looking at the woman you're marrying it shows you do know something Jon Snow.'"
Fallon also challenged The Tonight Show audience to see if they could tell the difference between a Game of Thrones character name and an Ikea product. Correct answers were given a handshake from Harington while wrong answers received a distant wave from the star.Game of Thrones returns for its eighth and final season on April 14. Harington will be hosting Saturday Night Live this Saturday.
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