Here's a list of every host that has also been a musical guest, as found on Wikipedia ( https://en.wikipedia.org/wiki/List_of_Saturday_Night_Live_guests#List_of_Saturday_Night_Live_hosts ). I've tried my best using IMDb to cross-reference these 37 with whether they hosted and were musical guest on the same night, and whether they have appeared on Saturday Night Live with their band. I've indicated in parenthesis the band name they appeared with when this was the case.
Gwyneth Paltrow is listed on wikipedia as being both a host and a guest. This is true in the most loose sense of "musical guest". She has never been credited as the headlining musical guest, but sang duets with both Cee Lo Green and Ryan Adams when they were the musical guest when she hosted.
Sting has hosted or been a musical guest 6 times on the show (once as both the host and the musical guest), but The Police were never a musical guest.
Dave Grohl has been the musical guest 9 times (not including performances where he just sat in). Twice with Nirvana, six times with Foo Fighters, once with Them Crooked Vultures. This makes him the most frequent musical guest on the show, yet he's never hosted or been the "headliner" musical guest.
Jack Black has hosted three times, two of those times singing along with the musical guest (John Mayer and The Strokes), and has appeared with his most-awesome rock duo Tenacious D once as the musical guest and once as a cameo appearance.
The Rolling Stones (the whole band) were both the host and the musical guest in 1978. Mick Jagger was both the host and musical guest in 2012. I was hoping this might be an "almost" match (of what you're looking for) if the Rolling Stones were his backup band in 2012, but alas, he got Dave Grohl, Arcade Fire, and about a billion other non-Stones musicians to back him up.
Speaking of Jagger, Christina Aguilera was the host in 2004 with musical guest Maroon 5. If they had waited 7 years, she could have sang their hit "Moves Like Jagger" together, which could be an "almost" match, since she actually is the singer for that track. Ah well.
Anyways, providing this list so that if anyone else wants to dig a little deeper, you might find other matches or near misses that I overlooked.
- Christina Aguilera
- Justin Bieber
- Jack Black (Tenacious D)
- Jon Bon Jovi (Bon Jovi)
- Garth Brooks (Chris Gaines) (same episode)
- Chance the Rapper
- Ray Charles
- Miley Cyrus
- MC Hammer
- Deborah Harry (Blondie)
- Janet Jackson
- Mick Jagger (The Rolling Stones)
- Elton John
- Quincy Jones (performed as Quincy Jones & Co., but that's who is credited as host as well)
- Lady Gaga
- Jennifer Lopez
- Bruno Mars
- Willie Nelson
- Randy Newman
- Olivia-Newton John
- Gwyneth Paltrow (sang with CeeLo and Ryan Adams)
- Dolly Parton
- Katy Perry
- Queen Latifah
- The Rolling Stones (Mick Jagger)
- Blake Shelton
- Paul Simon
- Snoop Dogg
- Britney Spears
- Taylor Swift
- Justin Timberlake
- Stevie Wonder
- Frank Zappa
Since it has come up and I was wonder about it myself, here is a list of all episodes where the host was also the musical guest (special notes made where this may be questionable):
- October 18, 1975 - Episode: Paul Simon/Randy Newman/Phoebe Snow
- Paul Simon was not the "official" musical guest, but this episode was almost entirely musical performances, including performances by Paul Simon (solo) and with Art Garfunkel (I'd call that an "almost" match).
- Note that I'm marking this one because it is very close to meeting the question's criteria. Paul Simon is credited as the host; Randy Newman and Phoebe Snow are credited as "Paul's Musical Guests"; Art Garfunkel is credited as "Special Guest Star". Their performance piece beings with a photo montage of the two from their very early days set to "Mrs. Robinson". It then dissolves to Paul Simon already on stage, saying "And now my friend, Art Garfunkel". Artie comes from a seat in the audience--the audience giving a standing ovation--and joins Paul on stage. After a beat, Paul says "So, Artie, you've come crawling back." They then play "The Boxer", "Scarborough Fair", and "My Little Town". If this isn't a Simon and Garfunkel reunion, I don't know what is. While it doesn't meet the criteria of Hosted by Paul Simon, Musical Guest Simon and Garfunkel, it certainly was what happened. And any fan of Paul Simon can tell you that Simon and Garfunkel is a vastly different musical act from Paul Simon as a solo artist (which you can tell from that same episode, where he performs his solo hits "Still Crazy After All These Years" and "Loves Me Like a Rock".
- This is also the only time that Paul Simon was both host and musical guest. He has hosted 3 other times and been a musical guest 7 other times, but has never been the solo host and musical guest on the same night.
- November 12, 1977 - Episode: Ray Charles
- February 20, 1977 - Episode: Live from Mardi Gras (Mardi Gras Special)
- This is a rare "special" that was shot live from New Orleans (not Studio 8H) on Mardi Gras (a Tuesday, not a Saturday). Randy Newman hosted and played music, along with others.
- October 21, 1978 - Episode: Frank Zappa
- October 7, 1978 - Episode: The Rolling Stones
- May 22, 1982 - Episode: Olivia Newton-John
- May 7, 1983 - Episode: Stevie Wonder
- February 21, 1987 - Episode: Willie Nelson
- April 15, 1989 - Episode: Dolly Parton
- February 10, 1990 - Episode: Quincy Jones & Co.
- December 7, 1991 - Episode: Hammer
- January 19, 1991 - Episode: Sting
- February 28, 1998 - Episode: Garth Brooks
- November 13, 1999 - Episode: Garth Brooks/Chris Gaines
- May 13, 2000 - Episode: Britney Spears
- February 10, 2001 - Episode: Jennifer Lopez
- February 2, 2002 - Episode: Britney Spears
- October 11, 2003 - Episode: Justin Timberlake
- April 10, 2004 - Episode: Janet Jackson
- October 9, 2004 - Episode: Queen Latifah
- November 18, 2006 - Episode: Chris 'Ludacris' Bridges
- October 11, 2003 - Episode: Justin Timberlake
- November 7, 2009 - Episode: Taylor Swift
- February 27, 2010 - Episode: Jennifer Lopez
- April 2, 2011 - Episode: Elton John/Leon Russell
- IMDb lists this episode as "Elton John/Leon Russell", but Don Pardo says "Host and Musical Guest: Elton John" in the opening credits
- October 20, 2012 - Episode: Bruno Mars
- May 19, 2012 - Episode: Mick Jagger
- February 9, 2013 - Episode: Justin Bieber
- March 9, 2013 - Episode: Justin Timberlake
- November 16, 2013 - Episode: Lady Gaga
- October 5, 2013 - Episode: Miley Cyrus
- January 18, 2014 - Episode: Drake
- January 24, 2015 - Episode: Blake Shelton
- October 3, 2015 - Episode: Miley Cyrus
- May 14, 2016 - Episode: Drake
- May 5, 2018 - Episode: Donald Glover/Childish Gambino