This is the first time on SNL for both Girls creator and star Dunham, and The National.
Dunham tweeted her exciting news saying, "Thank you for the SNL love. Dream come true. Can't wait to debut my character "girl who googled serial killers all night & has lots to say"!"
SNL has parodied the HBO series before when Tina Fey hosted it.
Musical guest The National recently received a Grammy nomination for their album Trouble Will Find Me, and their documentary Mistaken for Strangers will premiere in March.
Girls is currently in its third season and has been renewed for a fourth, and Dunham has an upcoming book, Not That Kind of Girl expected to hit shelves October 7.
Expect a lot more laughs when SNL returns this Saturday with host Jim Parsons and musical guest Beck.