The 51-year-old star accepted Letterman's invitation despite the pair's long running feud which has seen Winfrey used as the butt of many of the The Late Show host's jokes.
Letterman said, "What a big night that is going to be - not only for us, not only for Oprah, but for Broadway."
Winfrey's appearance coincides with the opening night of her Broadway musical The Color Purple. She was nominated for Best Supporting Actress Academy Award in 1986 for her performance in the movie.
He added, "She's huge. Put bygones behind us, the water under the bridge, over the dam, wherever water goes - standing in your basement - she's going to be here on this show and it's going to be fantastic."