This year, Jones is not only attending the ceremony, but she's also nominated for the same award.
"It hasn't set in yet," Jones told E!'s Jason Kennedy on the 2017 Emmys red carpet. "I'm waiting for somebody to tap me on the shoulder and be like, um, what are you doing here?"
McKinnon and fellow SNL star Vanessa Bayer are both also nominated tonight, along with Veep's Anna Chlumsky and Transparent's Judith Light and Kathryn Hahn, but Jones says there's no competition.
"It's so weird," she says. "Like all of us in the category, we're all rooting for each other."
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Jones was promoted from writer to featured cast member in 2014 for season 40, and she describes SNL as a "big playground."
"There's no way you can't enjoy that experience," she says. "You know, you get to dress up in costumes every week and pretend to be somebody else. I mean, that's like anybody's dream, right?"
Coming from the world of stand up comedy, there were a few things she says she had to learn, especially about live TV.
"It's a whole new element," she says. "I'm in stand up, and I come into a bunch of New York sketch comedians and it's like a completely different area. They taught me, you may know stand up, but we know sketch."
Of course, Jones is also well known for being a huge fan and excellent live-tweeter of Game of Thrones, which is currently on a hiatus that could last until 2019.
"We're getting through it, you know, me and the fans," Jones says. "We're going to be OK. Westworld is coming so...we're going to be OK."