The Up All Night actress will be joined by Jimmy Fallon's Late Night house band The Roots for a one-off show at Brooklyn Bowl, reports Page Six.
Questlove of The Roots is expected to perform a DJ set after the gig as well. Tickets for the event apparently sold out within two hours.
Rudolph, the daughter of singer Minnie Riperton, famously starred in Saturday Night Live's talkshow spoof 'Prince Show' sketches, playing the guitarist's co-host Beyoncé.
Her series Up All Night also kicks off its second season this evening, airing at 8.30/7.30c on NBC.
Watch one of SNL's 'Prince Show' sketches below: