Another cast member of the Hasty Pudding Theatricals at Harvard University, the nation's oldest undergraduate drama troupe, came on stage banging a cow bell, evoking the "SNL" skit in which Walken played a music producer who called for "more cow bell."
Walken, who joked afterward that he'd "have prepared or had a couple of drinks" if he had known what was in store, donned a copper-colored bra and brown wig. He couldn't get into a pair of blue pumps that were supposed to be part of the outfit, doing a dance in his street shoes instead.
The Hasty Pudding roasters also had Walken read the recipe for "hasty pudding," and asked him to show off his "psychic powers," a play on his role in 1983's "The Dead Zone."
"I hope nobody's watching," Walken said. "I acted on this stage in a play about 20 years ago."
In a more serious vein, he said he was "amazed and thrilled" by the honor.
The 64-year-old actor won a best supporting actor Oscar as a troubled Vietnam veteran in 1978's "The Deer Hunter." He was nominated again for 2002's "Catch Me If You Can."
Last year, he was featured in the film "Balls of Fury."
Talisa Friedman, press manager for the Hasty Pudding drama troupe, said Walken exemplifies the Hasty Pudding spirit and the value it puts on fun.
Charlize Theron also won a Hasty Pudding award this year.