The 25-year-old singer - who first found fame as part of the chart-topping boyband - made numerous tongue-in-cheek references to the group as he hosted the hit US comedy show.
Harry quipped: "I'm not in a boy band anymore. I'm in a man band.
"How crazy would it be if they were here tonight? They're not though.
"But wouldn't it be crazy if they were? But they're not."
Harry still considers his bandmates to be "family" - although his did joke about Zayn Malik, who left the group in abrupt fashion in 2015.
The 'Sign of the Times' hitmaker said: "I love those guys. Niall [Horan], Liam [Payne], Louis [Tomlinson] ... Uh.. Ringo! Yeah, that's it."
During his appearance on the show, Harry - who has previously dated the likes of Taylor Swift and Kendall Jenner - also made light of his own love life.
Harry compared hosting 'Saturday Night Live' to dating, adding: "And just like all my serious relationships, were gonna spend one incredible night together and then never see each other again."
Earlier this month, meanwhile, Louis branded One Direction's music "vague" and "less personal" to his solo material.
The 27-year-old pop star admitted he is much more proud of his own music because it comes from a "real" place.
He said: "Being in a band like One Direction, and the type of band that we were and where we came from, it's not real life even in the music industry.
"You're aiming for as many No1s you possibly can, the biggest choruses you can possibly get, the biggest deals, everything is on such a massive scale.
"The One Direction stuff wasn't straightforward, but an element of it was because you're doing songs that are relatively vague so it fits into four or five personalities and it's automatically less personal."