Megyn Kelly was on the set of "Keeping Up with the Kardashians" Thursday ... and it's not hard to connect the dots to figure out what's up.

Megyn's jumped from FNC to NBC, where she'll anchor a Sunday night magazine show premiering in June.

We're guessing she wasn't doing a cameo on 'KUWTK,' so by the powers of deduction it seems she's interviewing the klan for her new show.

If she interviewed Kim about the robbery, Ellen may have stolen her thunder ... Kim talked and cried about it on her talk show this week.

The Prez of NBC News went to Russia a few weeks ago and the buzz was that he was trying to score an interview with Putin and Megyn was a contender to ask the questions. No word if Putin's on board, but hey, she got Kim K.