The comedy star quizzed Mrs Prime Minister, or Jules, as he prefers to call her, on the best way to treat his horrible split ends after confessing he was fed up with his "horse hair".
He asked whether Ms Gillard, famous for her own locks, might be able to pass on any knowledge from her beau, hairdresser Tim Mathieson.
"I suffer from horrible split ends, would you have any advice for me?" Ferrell asked Ms Gillard during an interview on The Project.
"Because this hair is terrible, it's like horse hair and I'm at my wits' end."
Ms Gillard said had some clear advice, of which Tim would approve.
"You need to get yourself to a hairdresser straight away," she said.
"You need to spend buckets and buckets of money on in-salon treatments and you need to buy everything that they recommend for you to take home."
Channelling his Anchorman character Ron Burgundy, Ferrell also hit the prime minister with the tough questions, asking her about rising power prices, before realising she had already answered the question seconds earlier.
"Julia, it's Will again, I'm wondering, do you have an opinion on the power prices?"
"Oh did somebody already ask you about that?"
Ferrell is in Australia promoting his new comedy The Campaign.
