The Saturday Night Live star got emotional while accepting her Emmy for Outstanding Supporting Actress in a Comedy Series during Sunday night's awards show, and still hadn't gotten used to her new statuette while speaking with ET backstage.
"It's overwhelming and I'm just so honored to be a part of this year at this amazing show," she told ET's Kevin Frazier. "It's too much. The other nominees are so unbelievable."
"Thinking about the history of Saturday Night Live, that is an American cultural institution and to have gotten to be a part of this season in particular is the highest honor I could ever ask for," she continued. "I sincerely want to congratulate everyone that worked on this season."
SNL's political portrayals were highly awarded at the Emmys; Melissa McCarthy won Outstanding Guest Actress in a Comedy Series for playing Sean Spicer, while Alec Baldwin won Outstanding Supporting Actor in a Comedy Series for his role as Donald Trump.
"I mean, Alec, you know, [is] a lifetime hero of mine, and to get to work with him and then to have him be so welcoming and such a mentor and a sweetheart was like the greatest thing of my life," McKinnon shared. "I completely adore him and I'm so amazed that I got to do anything with him at all."
As for whether McKinnon, who impersonated Hillary Clinton on the show, thinks her win has helped bring justice to the former presidential candidate, she said she "can't speak to that."
"But I do know that I love her very much and I do earnestly thank her for allowing me to portray her," she said.
McKinnon also won Outstanding Supporting Actress in a Comedy Series at last year's Emmys, but says her new trophy won't have any competition at home.
"The one that I received last year I do not have. It's at someone else's house," she revealed. "It's leasing its own space. We had a couple arguments and she was like, 'I don't know if I can do this'. I'm like, 'It's OK. Go take a break.' We'll see where we end up."
"I don't know [if they'll get along]," she joked of her Emmys. "That's tough when you introduce two into the same environment, you don't know what's going to happen."