Conan O'Brien warned that the Oscars could get political ... and he wasn't lying! The Academy Awards host took a shot at the entire country with a vicious zinger during Sunday's telecast.

After highlighting that this is the first time in 14 years that Britain has no performers nominated for Best Actor or Best Actress ... Conan pointed out that there is one thing they seem to have over the U.S.

Conan joked, "A British spokesperson said, 'Yeah, well at least we arrest our pedophiles.'"

As you know ... Andrew Mountbatten-Windsor -- the former British prince, who has been accused of sexual misconduct -- was taken into custody on suspicion of misconduct in public office following the release of emails he exchanged with Jeffrey Epstein.

And of course ... there have been lots of people in America -- from big celebs to big politicians -- in the Epstein Files.

Later, Conan added another political joke, referring to the Dolby as the "Has a Small Penis" Theatre ... saying "Let's see him put his name in front of that."

Bottom line ... Conan did not come to play!