McCarthy, 48, and Falcone, 45, held hands as they walked the Vanity Fair red carpet, looking adorable in matching black Adidas tracksuits.
ET's Keltie Knight spoke with the couple as they headed into the A-list soiree, where McCarthy noted that despite her more casual third outfit of the night, she definitely upped her glamour in jewelry.
"I've doubled my diamonds, I feel great," she said. " ... I'm not kidding, whatever I had on for the Oscars I've doubled, so now it's like, I wouldn't trust me with it."
Meanwhile, Falcone shared that the matching outfits was his wife's idea.
"But I will say, when I heard it I was like, 'Oh god yes, 150 percent yes. Let's do this,'" he said.