"In the immortal words of Ron Burgundy, it's great to be here with two tennis legends — Roger Federer and John McIntosh," Ferrell said, intentionally getting McEnroe's name wrong.
From there the conversation went to wonderful places like eating wombat meat and Federer's resemblance to a "silky gazelle". Here's how it panned out.
Will Ferrell: Roger, tonight you seemed like a gazelle out there on the court. Would you describe your game as a silky gazelle?
Roger Federer: Maybe, maybe not. Don't they get eaten at the end?
WF: Not if they're fast enough. Quick question Roger, you're 36-years-old, you seem ageless, are you a witch or a vampire?
RF: Ahh I don't like those.
WF: There's a rumour in the men's locker room that you love coming to play in Melbourne and your secret to fitness is you only eat wombat meat. Is that true?
RF: That is untrue. I have not (eaten it). Should I?
WF: It is delicious — the national food of Australia. I know how much this crowd means to you, they're an amazing crowd, but does it get annoying when they just scream, "C'mon Roger" over and over again?
RF: "They remind me of my name, it's good. At an older age it's easy to forget sometimes, it's great.
Then, in a line designed to warm the hearts of Anchorman fans everywhere, Ferrell signed off the only way he could after such a sterling performance.
"Stay classy, Melbourne," he said.
Federer reflected on the amusing incident in his post-match press conference.
"I didn't know that was going to happen," Federer said. "That was fun.
"I saw him when I started the match, then I totally forgot he sat there. At the end, I realised he is still actually there. That's when he walked out onto centre court. It was nice to have a Hollywood presence here in Melbourne in combination with the tennis.
"People seemed to enjoy themselves. It was great to see Johnny Mac, too. Love the guy. It was a fun interview, I thought. I don't know about you guys, but I enjoyed it."
When asked who was a better interviewer - McEnroe or Ferrell - Federer admitted the movie star's technique meant it wasn't all fun and games.
"Will Ferrell is a bit more intense, I thought. I was a bit scared," he said. "He stood there, didn't look at me, just was like focusing on the questions. I was a bit worried it was going to come my way. I'm happy I dodged some questions there."