Prime Minister Malcolm Turnbull isn't known for being a comedian but he tried some daring Donald Trump material on a room full of journalists in Canberra last night.

He gave a tongue-in-cheek speech, which Nine's Political Editor Laurie Oakes has decided to reveal, at Parliament House's annual Mid Winter Ball .

Usually the prime minister's address is off the record, but Oakes - who did not attend the dinner and does not believe reporting should be banned at events hosted by journalists - is making it public.

In leaked audio, Mr Turnbull is heard making fun of his meeting with the president in New York last month.

"It was beautiful. It was the most beautiful putting-me-at-ease ever," he jokes.

He even does a Donald Trump impersonation.

"The Donald and I, we are winning and winning in the polls. We are winning so much, we are winning, we are winning like we have never won before," he says.

He also alludes to the probe into the Trump campaign's links with Russia, adding: "I have this Russian guy… Believe me, it's true, it is true."

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Mr Turnbull told 3AW radio today his speech was a "good humoured roast".

"(It was) light-hearted, affectionately light-hearted," Mr Turnbull told host Tom Elliott.

"It's a breach of protocol, it's a breach of faith and all those things, but it's light-hearted, affectionate, good natured.

"The butt of my jokes was myself.

Donald Trump and Malcolm Turnbull met in New York last month. (AAP)

Mr Trump and Mr Turnbull's relationship got off to an infamously rocky start with a hostile phone call. (AAP)

"It was fun, we've got to lighten up."

The US Embassy said it was not concerned by the prime minister's speech.

"We understand that last night's event is equivalent to our own White House Correspondents' Dinner," an embassy spokesperson said.

"We take this with the good humour that was intended."

The relationship between the president and Mr Turnbull got off to a famously rocky start in January when they spoke on the phone.

The US president reportedly told the prime minister he'd spoken with four other leaders - including Russian President Vladimir Putin - and said "this was the worst call by far".

Mr Trump fumed about the deal the Obama administration struck with Canberra to take hundreds of refugees from Nauru and Manus Island, according to unnamed sources quoted by The Washington Post.

In May, the prime minister was kept waiting ahead of the pair's face-to-face meeting in New York.

Mr Trump delayed the meeting by three hours, instead remaining in Washington while a bill to replace Obamacare passed the House of Representatives.

He later flew to New York, but only after holding a massive Republican press conference at the White House.

It is understood Mr Trump called Mr Turnbull earlier in the day to explain he would be late, and said he looked forward to meeting him that night.

The release of the audio has sparked intense debate online, with some arguing the prime minister's speech could damage Australian-US relations.