Before the duo hit the town, they both sang on SNL.
Wiig crashed the host Amy Adams' monologue and sang "We Need a Little Christmas" and spread some hilarious holiday cheer.
But it was actually One Direction that stole the show as the musical guests as they performed their hit, "Ready to Run."
This is not the first time that Wiig has shown that she's fond of Styles this year. She sang One Direction's song "What Makes You Beautiful" on The Tonight Show with Jimmy Fallon back in February as she wore a Styles wig, and she poked fun of him in an impersonation that showed she did not know a whole lot about him.
At least she knows how he dances now!
Check out what One Direction has to say about dancing in the video below.