McKinnon, dressed as her Clinton character in a cream pantsuit, played the piano and sang Leonard Cohen's "Hallelujah."
Cohen, the highly-respected artist
known for his poetic and lyrical music, died earlier this week.
McKinnon sang the entire song to a quiet audience.
After finishing the song, she turned to the camera with watery eyes and said: "I'm not giving up. And neither should you. And live from New York, it's Saturday Night!"
The episode followed a tumultuous postelection week that has seen protests in multiple cities
nationwide against President-elect Donald Trump.
In Saturday's episode, there were neither Trump jokes nor did Alec Baldwin make an appearance.
The show's more solemn opening struck a chord on Twitter.
Film critic Richard Roeper tweeted that McKinnon "is a superhero with the power to stop us in our tracks."
McKinnon also appeared in the episode as Supreme Court Justice Ruth Bader Ginsburg on the show's "Weekend Update" segment.
"I'm never going to step down now!" she said, acting as the 83-year-old judge. Then she poured down a bag of vitamin powder in her mouth to stay healthy, as she made jokes about skipping retirement during Trump's presidency.
Comedian Dave Chappelle, who hosted the show, performed an opening monologue about Trump's victory and the current climate of the country.
"We actually elected an Internet troll as our president," Chappelle said. But his jokes about the President-elect ended on a serious note.
"I'm wishing Donald Trump luck and I'm going to give him a chance," Chappelle said. "And we, the historically disenfranchised, demand that he gives us one too."