Hathaway and Stewart don moustaches
They breakdance in the shell suits, while Kristen plays a guitar and Anne a handheld synthesiser.
"We screamed with laughter all day, huddled behind the monitor," Jenny told GQ.com of the video.
"I haven't laughed that hard since What About Bob? came out on LaserDisc," added the former Rilo Kiley member.
Jenny's new album, The Voyager, addresses her coming to terms with the death of her estranged father and the split of her indie band, Rilo Kiley.
"It's really awesome to have something to wear to help you get into the character of the record," she told People of her costume choices.