Former Secretary of State Madeleine Albright Burns Conan O'Brien on Twitter

"Never get into a word war with a diplomat," she warned.

ByABC News
October 24, 2014, 12:25 PM
Conan O'Brien, left, is pictured on Oct. 8, 2014 in Beverly Hills, Calif. Madeleine Albright, right, is pictured on Sept. 21, 2014 in New York City.
Conan O'Brien, left, is pictured on Oct. 8, 2014 in Beverly Hills, Calif. Madeleine Albright, right, is pictured on Sept. 21, 2014 in New York City.
Jonathan Leibson, Paul Zimmerman/Getty Images

— -- Madeleine Albright proved to be a good sport when Conan O'Brien cracked a joke on Twitter that name-checked the former U.S. secretary of state.

On Thursday afternoon, the TBS late-night host quipped, "I picked out my Halloween costume. I’m going as 'Slutty Madeleine Albright.'"

Albright, 77, rose up to the challenge and tweeted a joke of her own, at O'Brien's expense, saying: "I'm considering going as hunky Conan O'Brien - but that might be too far fetched."

O'Brien got a kick out of Albright's response. He responded, "YES - My first twitter war with a former Secretary of State! You're next, George P. Shultz!"

Albright then made it clear that she's not one to be messed with: "Never get into a word war with a diplomat," she warned. "We talk even more than comedians."

For their complete exchange, see below.