Stephen Colbert has poked fun at Rachel Maddow's underwhelming Donald Trump scoop, laying into the MSNBC host for too much "build-up" and not enough "punchline".

Addressing the camera on the latest episode of The Late Show with Stephen Colbert, the veteran comedian appeared in Maddow's signature blazer and held up a blank piece of paper.

"I hold in my hand something very significant," he said. "It is a joke. A joke that we have confirmed has been heard by Donald Trump. We believe this is the first time any joke connected to Donald Trump has been released."

Earlier this week, Maddow had people speculating the world over after tweeted that she had obtained "Trump tax returns". It turned out, however, that MSNBC had obtained a tax return from 2005 that showed Trump earned around $US150 million and paid $US38 million in taxes.