Fox News anchor Megyn Kelly says Hillary Clinton Hillary Diane Rodham ClintonButtigieg stands in as Pence for Harris's debate practice Senate GOP sees early Supreme Court vote as political booster shot Poll: 51 percent of voters want to abolish the electoral college MORE is "chicken" for not appearing on her show.

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Kelly on Friday interviewed Lanny Davis, a former Bill Clinton William (Bill) Jefferson ClintonChelsea Clinton: Trump isn't building public confidence in a vaccine Hillary Clinton launching podcast this month GOP brushes back charges of hypocrisy in Supreme Court fight MORE advisor and a columnist for The Hill, praising him for sending a letter to the Clinton campaign suggesting the Democratic nominee go on "The Kelly File."

“And like a bunch of dopes, they rejected your advice,” Kelly said jokingly.

“Well first of all, you’re tough but you always let me answer your questions. And that’s why I thought it was a great idea,” said Davis, adding that he thought Clinton always does well when facing tough questions.

“She would have done great on your show, and you would have asked her tough questions about the emails, and the servers, and everything else and she would have done great and hit home runs, in my opinion, on every question you asked,” he said.

Kelly questioned Clinton's courage to come on the show.

“The bottom line is, honestly, she was too chicken to come on — that’s the truth. No, I asked her for months and months and months through everybody possible. Why else wouldn’t she be here?”

Kelly blasted Clinton for not granting an interview to one of the most prominent female broadcasters.

“She’s trying to paint herself as some champion of women, and what does she do? She doesn’t even sit down with one of the top female journalists in the country, at least, and certainly here on the Fox News Channel. ... Never came. That’s the truth.”