"It's very surreal to walk through the press entrance and go through the bowels of the stadium and walk out onto the field through the dugout," said Ferrell, who is a lifelong Angels fan.
"When I think back to sitting up in the bleacher section as a kid, that's when I really grew to love baseball. To be near the best players in the game is a really neat thing."
Wearing a patch on his left chest to honor former Angels All-Star Bobby Grich -- a prized memento Ferrell confided he found on the Internet -- the 43-year-old star made the rounds during the action of the State Farm Home Run Derby.
Ferrell's new movie, which stars him and Mark Wahlberg as an odd couple of New York City detectives, will be released on Aug. 6. It also has a baseball twist.
Yankees shortstop Derek Jeter joined the crew to shoot a "pivotal cameo" at New York's Coney Island, showing the captain down on his luck and homeless after suffering a career-ending injury.
"We have the captain, Derek Jeter, or 'J-Stick,' as I like to refer to him," Ferrell said.
We know Jeter is an All-Star on the field -- one look at the American League's lineup card is enough to confirm that. But how does "J-Stick" handle himself in front of a camera?
"If he would have said two words to me, I would have been able to tell you," Ferrell said. "But boy, the guy has an entourage a mile long. When he says no eye contact, he means it. He slapped me a couple of times. Other than that, he's great."
Ferrell was, of course, joking. He later called Jeter "an excellent actor" and said to watch out for him during awards season -- perhaps a Golden Globe or Independent Spirit Award could be bearing Jeter's name, he said.
"He's actually one of the nicest guys you'll ever meet," Ferrell said. "With how talented he is, his greatness, we were just laughing. He said he was more nervous during a day filming with us than he was in the seventh game of the World Series. It was great. I tried not to talk to him too much."
Ferrell was clearly a hit on the field. Hall of Famer Joe Morgan told Ferrell that he was an "Anchorman" fan, as are many of the players, though most seemed too shy to try their hand at a Ron Burgundy impersonation.
"Hank Aaron walked right by me," Ferrell said. "I wanted to give him a hug, but I didn't. I was too sweaty. That was pretty cool. Just getting to meet a lot of the ballplayers was pretty fun."
Ferrell did break out his old "Saturday Night Live" Harry Caray impression for the Home Run Derby, and after a brief chat with the Rays' Evan Longoria, Ferrell had a few words of constructive criticism regarding Longoria's recent New Era cap commercial.
"Where he's chasing the guy with his hat?" Ferrell said. "I would say, maybe don't do any more commercials. That would be my acting tip."
As for Burgundy, if he were sent north from San Diego to report on Monday's Home Run Derby, here is how Ferrell guessed he might tackle the assignment: "He would probably be smoking a lot of cigarettes on the field, trying to get in the game, or harassing women. One of those three things."
Ferrell kept his sport coat on during his appearances Monday, and it did not seem as though he was concealing the uniform of the mustachioed Rojo Johnson -- yet another in the series of Ferrell's sports alter egos, which include 1970s hoopster Jackie Moon, race car driver Ricky Bobby and figure skater Chazz Michael Michaels.
"Johnson" made a memorable appearance on May 6 for the Triple-A Round Rock Express, throwing a pitch behind the only batter he faced before being ejected in a game against the Nashville Sounds. The appearance promoted an organization that provides scholarships to cancer survivors, and Ferrell feigned ignorance when asked for Rojo's whereabouts.
"I've heard legend of him," Ferrell said. "He seems like a creepy, weird guy. Anyone who throws 109 miles an hour, you have to take a chance on, even if he's been arrested for embezzling reptiles out of the country. He's a little bit of a shady character, but I think underneath all of it is a heart of gold. And a lot of gold chains. Too many, I think."
With all of his sporting endeavors in front of the camera, you might have expected Ferrell to have harbored some athletic dreams of stardom while growing up in Irvine, Calif. Not so, he said.
"I never did," Ferrell said. "I was very realistic with my dreams. I dreamed of being in the service industries. Plumber, night watchman, that sort of thing. And I failed. I totally failed."