Perched cross-legged on a stool, Kacey appeared to be naked from the boots up, covering up her modesty with her guitar.
Teasing her performance, Musgraves tweeted a screengrab of a scene from the movie "Forrest Gump", in which Robin Wright's character, Jenny, performs naked onstage.
The singer, who recently divorced her husband Ruston Kelly, previously revealed she took inspirations from Greek tragedy for her new album.
"I love the definition of 'star-crossed' because it's two people who love each other so much," she explained, "but they just cannot make it work because even the universe is against them. I resonate a lot with that with my personal story and what I've been through."
"My last album is what people know me for," she noted. "They see me as this starry-eyed, rose-coloured glasses kinda girl; the Golden Hour girl. Well, here I come with a post-divorce album, bursting the f**king bubble."
The "SNL" episode was hosted by Owen Wilson who delivered a laid-back monologue while poking fun at bad reviews. "I only read the good ones. I really find that the bad ones, they don't really speak to me in the same way," he quipped.