The diplomat delivered the keynote address at an event for the Alfred E. Smith Memorial Foundation Dinner, making jokes about the Democrat senator whose heritage has been the centre of her discord with the president. Elizabeth Warren, D-Mass., are "from the same tribe".
"The President got really mad at Bob Woodward's book", she said.
Ms Haley said she had seen Mr Sessions, Mr Trump's embattled attorney-general, earlier in the day. But that hasn't stopped some from confusing her Indian heritage with Native Americans - including, she joked, the president.
On the president's advice for Haley's speech: "He said if I get stuck for laughs, just brag about his accomplishments". Elizabeth Warren (D-Mass.) for appearing to have greatly exaggerated her Native American heritage, US ambassador to the U.N. Nikki Haley got in a few jabs of her own Thursday night.
US President Donald Trump said on Saturday he would prefer to pick a woman to take over the job of Washington's United Nations ambassador.
Speaking of her current job, which she plans to leave in January, Ms Haley noted that numerous UN member nations are often angry with the United States.
The Al Smith Dinner, a white-tie gala featuring prominent politicians, was one of Haley's first appearances since announcing her resignation in an Oval Office meeting with the president October 9.
"The president called me this morning and gave some really good advice. You wanted an Indian woman, but Elizabeth Warren failed her DNA test".
Among other jokes, Haley also shared a piece of advice President Trump gave her: "he said if I get stuck for laughs, just brag about his accomplishments-it really killed at the United Nations, I gotta tell you". "So, good night everybody", she said to laughter from the crowd.
"Jeff Sessions wanted to be here but he recused himself", she said.
Her parents, she said, are immigrants from India - "legal immigrants", she stressed.
The former SC governor also delivered punchlines about rapper Kanye West and Trump's embattled attorney general, Jeff Sessions.
"In America, our political opponents are not evil". I saw him on LinkedIn looking for a job. At one point, she turned serious and appeared to call out Trump's political antagonism.