Armisen sent up author Michael Wolff, who has exposed the inner workings of the Trump White House in his best-selling book Fire and Fury.
Murray portrayed Bannon as a self-aggrandising mess with blotchy skin and wearing multiple layers, clinging to power after being dumped by the Trump administration for criticising Mr Trump's children in Mr Wolff's book.
Murray delivered a few laughs as Bannon, revealing that he was working on new projects including a web series called Cucks in Cars Getting Coffee, a skin care line called "Blotch", and a brand of wrinkled barn jackets called "frumpers for guys".
He reminded viewers that he still posed a threat as a political meddler.
"No one gets the Bannon fired," he said.
Speaking slowly, Murray's Bannon referred to himself as a "kingmaker".
"I convinced this country to elect Donald and I can do it again," Murray said.
"Already auditioning candidates, got some prospects. Logan Paul. Martin Shkreli. The Subway guy, Jared Fogle, he's back. He's electable. It's time for America to slide down the Bannon-ster."
The skit ended on a high note with an appearance from Leslie Jones as Oprah Winfrey, whose rousing Golden Globes speech set off speculation that she might run for president in 2020. When asked by the hosts if she will be running for president, Jones said, "Well, I am a celebrity, so I am qualified. But I'm different from Donald Trump because I'm actually a billionaire."
