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"She thought it was quite funny, particularly because she once dressed up as Tina Fey for Halloween," her spokesperson Tracey Schmitt said, according to CBS News.
In the skit, Fey appeared with Amy Poehler as Hillary Clinton and the two talked about sexism in the media and their own ideas about politics. "I don't agree with the Bush doctrine," Poehler said at one point.
"I don't know what that is," Fey added, laughing.
The governor and her traveling press corps watched the show from the campaign plane as it flew from Reno to Denver Saturday night. The premiere was the most watched SNL since Al Gore hosted in 2002.
This is Fey's third guest appearance since she left the show in 2006.
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