The actress, on Thursday, said a friend gave her Prince's belly chain that he used in the music video for "Mountains."
"I wear it around my neck because it does not fit around my waist," Rudolph said before joking about kissing the belly chain.
Rudolph recalled how she was on maternity leave when she found out that Steve Martin was going to guest host Saturday Night Live with Prince as the musical guest. The comedian said she brought along her newborn daughter, Pearl, as she didn't want to miss Prince at SNL.
"I was like, 'I'm up.' Got on a plane. We brought Pearl. She was like still a loaf of bread. She was so small and we flew out here. Brought my breast pump, brought like everything," Rudolph said.
"That's like a baby Maya dream sandwich," she continued about seeing both Prince and Martin.
Rudolph also played Mimic Challenge with Fallon, which tasked the pair with mimicking sounds from inanimate objects like a computer keyboard or guitar.