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Two days after they rocked the "SNL" season premiere, Radiohead graced Stephen Colbert with their presence as the sole guests on "The Colbert Report" last night (Sept. 26).

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Britain's biggest band was on hand for four songs, playing as a sextet with a hefty backing brass section. The band's first choice was "The Daily Mail," an unreleased track that has recently turned up in live sets, which began with as a gentle piano track before rocking out in the ending crescendo.

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Radiohead - "The Daily Mail"
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Radiohead's next two choices: "Little By Little" and "Morning Mr. Magpie," off the band's 2010 release, "King of Limbs." Finally, Thom Yorke and company tore through the bass-heavy "The National Anthem," from 2000's "Kid A," as the credits rolled -- a fitting choice for the political pundit's stage.

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Exclusive - Radiohead - "Morning Mr Magpie"
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Exclusive - Radiohead - "The National Anthem"
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Radiohead - "Little by Little"
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An additional pair of "King of Limbs" cuts, "Bloom" and "Codex," were performed in the studio and are available for streaming on the show's website, Colbert Nation.

Aside from performing, the historically anti-corporate band were also on hand for a pair of discussions with Colbert. Radiohead mostly kept pace with the host's deadpan humor, though their stoic, no-nonsense approach appeared now and then. "Did you win 'Idol,' or the 'X-Factor,' or 'Britain's Got Talent'?" joked Colbert, to which guitarist Ed O'Brien answered sharply, "We're not that kind of band. We formed at school about twenty years ago."

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Radiohead
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Once the band gained its composure, they quipped about the possibility of a Radiohead Christmas album, their rather obscure Grammy win ("Best Packaging" for 2007's "In Rainbows"), and Colbert's corporate sponsor Dr. Pepper, which Yorke admitted "tastes like that stuff you get at the dentist."

Later on, Yorke and O'Brien were on hand for a global warming discussion with Colbert. Referencing Texas' abnormally warm summer, the musicians expressed concern over the rising issue and its future implications for their families and children.

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Global Warming - Thom Yorke & Ed O'Brien
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Colbert is no stranger to musical collaborations on "The Report." In June, the host was playfully featured on a 7" single of garage rockers the Black Belles' "Charlene II (I'm Over You)", produced by Jack White and released on his Third Man Records.

In 2008, Colbert collaborated with musicians such as Elvis Costello, Toby Keith, Feist and John Legend for a Christmas TV special and an accompanying soundtrack, released exclusively via iTunes.

Additional reporting by Jillian Mapes.