The two watched their Dancing With the Stars co-star Mark Ballas perform in the Broadway musical Jersey Boys. He joined the cast in October as the final performer to take on the role of Frankie Valli before the show closes in January.
Chmerkovskiy and Murgatroyd naughtily recorded videos of his performance and posted them on Instagram.
"Sneaky video of my super talented bud @markballas," Murgatroyd wrote. "Congrats my friend, you were born to play Frankie! XO"
"Couldn't be more proud of @markballas for his role in @jerseyboysbroadway !!!" he wrote. "Here's to many more standing ovations and sold out theaters!!!"
"@petamurgatroyd did NOT get kicked out of this one," he added.
Chmerkovskiy and Murgatroyd, who are expecting their first child, were rather naughty earlier on Saturday as well; They revealed via an Instagram video that they had gotten kicked out of their first Lamaze childbirth class.
"This baby's gonna be a disaster," Chmerkovskiy joked.
The couple flew from Los Angeles to New York several weeks ago after Chmerkovskiy finished competing on Dancing With the Stars season 23 and have remained in the city, where his family lives, as they anticipate the arrival of their baby. Murgatroyd is due to give birth in January.
Ballas recently returned to New York with his new wife BC Jean after the two wed in Malibu, California.