Winfrey, 51, accepted Letterman's invitation to be interviewed on The Late Show in order to put their long-running rivalry behind them. Winfrey has previously been the butt of many Letterman jokes.
And no sooner had the interview begun, they both declared there had never been any real animosity between them.
Winfrey asked Letterman, "Could you tell me please what has transpired? I have never for a moment had a feud with you."
At one point during the interview, Letterman said, "I want you to know, it's really over, whatever you thought was happening.
"It means a great deal to me and I'm just very happy you're here."
Letterman then praised Winfrey for her charity work in Africa and the humanitarian work regularly carried out for THE OPRAH WINFREY SHOW: "You have meant something to the lives of people. We're just a TV show."
Winfrey has appeared on Letterman's show twice before, but not since he moved to US network CBS in 1993.
After the show, Letterman escorted Winfrey to the opening night of her Broadway musical The Color Purple.