The nicknames are a reference to Trump, who called Fallon a "lost soul" and Colbert a "lowlife" and "this guy on CBS" during a rally in SC on Wednesday.
They also enlisted fellow TV host Conan O'Brien for the skit played out over a video call.
Asked if her the message on her jacket was meant as an endorsement of her husband's family separation policy for migrants, "Trump" responded, "You should not believe my clothing!" before opening her jacket to reveal the words "Believe My Clothing" on her shirt.
In the sketch, Colbert is writing his monologue, only to be interrupted by a video call from Fallon.
After O'Brien hung up to shave his chest, Colbert and Fallon agreed to meet for dinner.
Fallon brought up Trump's rally, but both said they hadn't watched. "Hey, lost soul", Colbert responded.
Albanian Eagle: Did you see Shaqiri and Xhaka's controversial celebrations against Serbia?
Such displays have angered some Serbian fans, who often wear T-shirts bearing the map of Kosovo with the Serbian flag on it. Serbia had chances to score more before halftime. "They have qualities throughout the squad, excellent individuals.
"Well that's not right", Colbert says, confused.
Trump was referencing a moment during the 2016 presidential campaign when Fallon messed up Trump's famous hair on "The Tonight Show".
Of course, it's far too late for that, as they are now clearly in Trump's cross-hairs.
"I heard he said we're all no talent, low-life, lost souls", responded Fallon. Heard he said we're all no talent, low life, lost souls, ' Fallon said.
"The guy on CBS, what a lowlife", Trump said.
"Oh. Well guys, give him time", says Conan, adding, "And, remember, please be civil. He's president?! Wow! How's he doing?" "If we're not careful, this thing could start to get ugly", he says. He then went on to refer to Stephen Colbert as "the guy on CBS" with "no talent". The two comedians also sarcastically claimed they didn't watch Trump's SC rally, but heard he said some pretty mean stuff about them.
"The last time someone else tooted Trump's horn it cost him $130,000", Fallon said.