The 32-year-old actor, who starred in Black Panther, also spoke about the differences between American and British racism.
"People ask me, 'What's worse, British racism or American racism?' Let me put it this way, British racism is so bad white people left," he said. "They wanted to be free, free to create their own kind of racism. That's why they invented Australia, South Africa, and Boston."
The actor finished his monologue by thanking his loved ones and revealed how current SNL cast member, Kenan Thompson, impacted his childhood.
"When I was nine years old, I wrote a play that got performed at Hampshire Theatre with real actors and everything. This is a true story – that play was based on Kenan & Kel. That play led me down a path that got me to this stage tonight with Kenan backstage right now," Kaluuya said.
"I just want to take this moment in front of Kenan and the whole world to say, thank you mum, thank you God, and thank you Kel."