TV's Frink said:

Did Yoda ever appear on The Muppet Show??? ;-)

I think he went on record as saying he would have liked to, but his involvement in the Broadway musical "Yoda and the Technicolor Gimer Stick" prevented him from doing so at the time.

Actually, it appears I'm mistaken. He's not a muppet after all (from muppet.wikia.com):

"A popular misconception is that Yoda is a Muppet, based on the involvement of Oz, the character's existence as a puppet, vocal similarity to Grover, and a false assumption that The Jim Henson Company... built the character... The puppet was originally designed and built by Stuart Freeborn for LucasFilm and Industrial Light & Magic."