The NBC variety showed kicked off with a sketch that had McKinnon's Sessions saying goodbye to many in Washington D.C. from White House press secretary Sarah Sanders (Aidy Bryant) to special counsel Robert Mueller (Robert De Niro).
"Jeff, I'm sorry it has to end this way, but we're going to need you to clean out your desk," Bryant's Sanders said.
"Well, luckily I still have the box I was born in," McKinnon's Sessions responded. "I'm sorry. I promised myself I wasn't going to cry. It'll signal weakness and a hawk will come down and grab me."
The fake Sessions then packed up some of his belongings such as Bob Woodward's book "Fear: Trump in the White House" and the NAACP's first "ironic award."
The "SNL" version of Sessions, who in real life was fired by President Trump earlier this week, then said goodbye to more of his friends from the Trump administration. First up was Vice President Mike Pence, played by Beck Bennett, followed by Eric and Donald Trump Jr., played by Alex Moffat and Mikey Day.
"I think I'll miss my colleagues at the Justice Department the most, and all the talk around the water cooler. Speaking of which," McKinnon's Sessions said before sipping water out of a gerbil water bottle.
Sessions then sang an Adele song while holding a photo of Alec Baldwin's Trump.
Yet, "SNL" saved the biggest and most surprising goodbye for last when De Niro's Mueller showed up to Sessions' office.
"Oh Lord, like they say, you can't arrest me, I quit," McKinnon as Sessions said to De Niro's Mueller.
"Relax, Jeff, I just came to say thanks for all your help with the [Russian] investigation," De Niro's Mueller said.
This led to McKinnon's Sessions asking what he did to help.
"More than you'll ever know," De Niro's Mueller responded.
This led to McKinnon's Sessions and De Niro's Mueller singing more Adele before saying the show's famed catch phrase, "Live! From New York! It's Saturday night!"