Here's every one-season cast member Robert Downey Jr. found out in the 1980s. To date, Downey is the only leading MCU star to actually be an SNL cast member, and as he its, it didn't go well.
As with any other group of performers, some of the MCU stars who've hosted Saturday Night Live have excelled, and others have faltered, although thankfully none tend to be included in "worst host ever" conversations. Since Saturday Night Live has been on the air much longer than the MCU has existed, many of these instances understandably occurred before the actor in question became known for their big screen work with Marvel.
In evidence of just how powerful in pop culture that the MCU has become though, there have been several hosts who were rocketed up to the level of SNL after their Marvel roles greatly increased their profiles in Hollywood, including Thor actor Chris Hemsworth. This would of course include Simu Liu, who while not an unknown before Shang-Chi, is now a full-fledged A-lister. It's too soon to say who will the MCU SNL hosts club next, but here's all the people who have to date.
Michael Keaton (First Hosted October 30, 1982)
Michael Keaton, who terrorized Peter Parker as The Vulture in The Flash movie.
Jeff Bridges (First Hosted February 26, 1983)
Beloved actor Jeff Bridges has only appeared in one MCU movie, but his role was a major one, Iron Man—the movie that kicked off the entire MCU. Bridges first hosted Saturday Night Live in 1983, co-hosting alongside his brother Beau. His next time hosting wouldn't come until December 18, 2010.
Glenn Close (First Hosted February 25, 1989)
Esteemed actress Glenn Close entered the MCU by playing Nova Prime, leader of the Nova Corps, in Guardians of the Galaxy. She first hosted Saturday Night Live on February 25, 1989, then later returned to host on December 12, 1992. Close is still actively working, and could conceivably host again in the future.
Robert Downey Jr. (First Hosted November 16, 1996)
As brief as Robert Downey Jr.'s run as a Saturday Night Live cast member was, he did return in 1996 to host. That said, he hasn't been back since, not even after playing Iron Man/Tony Stark in the MCU shot his career back up into the stratosphere. Perhaps he just doesn't feel comfortable doing sketch comedy.
Samuel L. Jackson (First Hosted January 10, 1998)
Samuel L. Jackson was already a Hollywood icon prior to ing the MCU as Nick Fury, but leading SHIELD has certainly only increased his star power. Surprisingly for a star of his caliber, Jackson has only hosted Saturday Night Live once, on January 10, 1998. He has since appeared in one-off sketches though.
Gwyneth Paltrow (First Hosted February 6, 1999)
Gwyneth Paltrow, who's played Tony Stark's true love Pepper Potts in multiple MCU movies, has hosted Saturday Night Live three times. However, only one of those came after her MCU debut. Paltrow first hosted in 1999, then returned on November 10, 2001, and came for thirds on January 15, 2011.
Scarlett Johansson (First Hosted January 14, 2006)
Despite only being in her 30s, Scarlett Johansson has quickly become one of Saturday Night Live's most prolific hosts, even ing the vaunted five-timers club. Johansson first hosted on January 14, 2006, then returned on April 21, 2007, and came back again on November 13, 2010, her first after debuting as Black Widow in Iron Man 2. Johansson's other hosting gigs were on May 2, 2015, March 11, 2017, and December 14, 2019.
Natalie Portman (First Hosted March 4, 2006)
Natalie Portman will make her big return to the What If?. She's hosted SNL twice to date, the first time coming on March 4, 2006, and the second much later on February 3, 2018.
Julia Louis-Dreyfus (First Hosted May 13, 2006)
Seinfeld star Julia Louis Dreyfus, who recently made her MCU debut as the mysterious Valentina Allegra de Fontaine, was once a Saturday Night Live cast member for three seasons. She's since returned multiple times to host. The first came on May 13, 2006, with returns on March 17, 2007, and April 16, 2016.
John C. Reilly (First Hosted October 21, 2006)
John C. Reilly, who played Rhomann Dey, a member of the Nova Corps in Guardians of the Galaxy, has only hosted Saturday Night Live once. That occasion came on October 21, 2006 shortly after the release of Talladega Nights: The Ballad of Ricky Bobby. Considering Reilly's knack for broad comedy, it's a bit surprising he's never been back.