"He wouldn't do that", a tearful McCarthy said.
McCarthy and her audience member guest then ran off to do a tequila shot and meet a llama.
McCarthy, who was also this week's show host, trolled Spicer from the jump showing him hiding in the bushes outside the White House.
A misfired joke about "pants on fire", played largely for the visual of McCarthy unleashing an extinguisher, was followed by the more solid visual comedy spun out of a question about Russian Federation.
"Spicey" then addressed a follow-up question about the firing of FBI Director James Comey and the status of the Russian Federation investigation.
The reporters question Spicer's true knowledge of the situation, and say that Trump makes Spicer embarrass himself.More news: Sudan's president invited by Saudi Arabia to Trump meeting
Cut to a prerecorded scene of McCarthy rolling around midtown to the Simon and Garfunkel's "The Only Boy Living in NY", yelling "I promise I'll talk better" and asking for the president at Trump Tower.
He then tickles Spicer, and it gets uncomfortable pretty quickly.
However, Trump is not at his hotel, but rather at a golf course in New Jersey.
Inside Trump is Comey, depicted as a dog; inside him is Hillary Clinton, depicted as a witch; and inside her is Vladimir Putin-but McCarthy tells reporters not to "look at him", realizing his inclusion was a mistake. Trump/Baldwin responded, "Only since you started working here". "I'm famous; it's OK". "I can promise you, whoever I choose is going to be so bonkers you're going to wish like hell it was Judge Judy". "You like when I do that, Sean?" "She doesn't have your special spice: salt and pepper, a little bit of sugar". Had Trump been feeding him lies?
"I am being straight with you!". "He wouldn't do that", a flustered Spicer replies. The Bridesmaids star has been playing Press Secretary Sean Spicer this season and her hosting appearance followed a memorable week in the Trump communications specialist's life - apparently spent living in the bushes.
"Is this like "The Godfather" when you kiss me an no one sees me again?"
The question first made McCarthy's Spicer go ballistic, ripping a column down and throwing it at the press corps, but then it and other questions about whether Trump was lying to the faux press secretary made Spicer rethink everything.