The actor, pretending to have been abducted, arrived at the Ed Sullivan Theater stuffed into the back of an SUV, with his hands bound and his head covered.

Murray pleaded with his sinister-looking fake “kidnappers,” who threw him into the building, but not before pretending to zap him with a stun gun.

The Hyde Park on Hudson star eventually picked himself up and got over to his seat next to Letterman, who expressed confusion over what had just happened.

“It’s nice to be back,” replied Murray.

Later, the duo had some adorable moments drinking cocoa and recreating one of Murray’s favorite New York Christmas traditions.

Part 2: