The Late Show with Stephen Colbert Season 1 Episode 87 Tina Fey and Margot Robbie, Will Ferrell, Megyn Kelly, Key & Peele ( Air Date 2016-02-07 ) Genre Comedy, Talk category. Overview "Stephen welcomes Tina Fey and Margot Robbie, Will Ferrell, Megyn Kelly, and Key & Peele.".