In the show's final sketch, guest host Mick Jagger played the principal at a high school graduation and brought up Wiig, in cap and gown, as "one particular student who is leaving this summer."
She danced in turn with Jagger, cast members and executive producer Lorne Michaels to the tune of the Rolling Stones classic "She's a Rainbow." Then the ensemble sang another Stones hit, "Ruby Tuesday," with its line, "still I'm gonna miss you."
Wiig appeared to be holding back tears.
Though NBC had made no prior announcement of her departure, it comes as no surprise. She starred in and co-wrote the hit comedy "Bridesmaids," and even before that had notable roles in "Friends With Kids," "Paul," "Adventureland" and "Knocked Up," among other films. She has six more in various stages of development.
Wiig's almost limitless range of characters on "SNL" has included neurotic attention-seeker Penelope; Kat, half of the musical duo Garth and Kat (alongside Fred Armisen); and such real-life notables as Bjork, Kathie Lee Gifford and former Speaker of the House Nancy Pelosi.
Andy Samberg and Jason Sudeikis have also been reported to be leaving "SNL," though Michaels recently said any decision on cast changes will wait until the summer.