Gretzky's appearance, which became an instant classic and perhaps the best one ever hosted by an athlete, was not only not his idea, he didn't even find out about it until he read it in a newspaper.
Back in 2014, Gretzky relayed the strange situation on "Conan," the late-night TBS talk show hosted by Conana O'Brien, a former SNL writer.
We'll let Hall of Famer take over from here.
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"I remember like it was yesterday," Gretzky said. "Because I was on an airplane flying from L.A. to Kentucky to watch the Kentucky Derby. I was reading the paper and it said 'Wayne Gretzky to host 'Saturday Night Live.' And I just pulled down the paper like this and looked at my wife and said 'Nooo.'"
The way Gretzky tells the story his wife, Janet, herself an actress, called SNL executive producer Lorne Michaels and told him her husband was on board without his knowledge.
"That's a scary way to find out," O'Brien joked.
Turns out, Mrs. Gretzky knew best because the episode is an all-timer.
"As it turned out, I had a great time," Gretzky said.