McCarthy, 42, looked pensive as she inched down a short staircase to the SNL stage in a pair of high sparkly red platforms Saturday.
The actress ended up falling on the floor as a stool she used for balance slid away.
She then performed a song and dance number with Taran Killam on her knees, UsMagazine.com said.
"They told me, 'Make sure you practice in your shoes.' I said: 'What? I live in heels!' But I don't do that. That was not honest. I'm primarily in a Croc. I just really wanted to get all gussied up for you guys," McCarthy said.
"Wow, I can't feel anything from my arch to my toes. You could just bite that half off."