The Britain's Got Talent judge will appear on the ITV1 chatshow after a second run was confirmed in March.
Holden tragically lost her unborn baby after a stillbirth earlier this year. At the time, doctors were said to have "no idea" why the pregnancy encountered complications.
Other guests confirmed to take part in the programme alongside Holden include John Cleese, Rupert Everett and Charlotte Church.
After four years with Channel 4, O'Grady returned to ITV in 2010, and pulled in decent ratings in the face of strong opposition.
The comedian has previously stated that he is "looking forward" to his return.
He said previously: "I'm really looking forward to being back behind my desk! We've got some fabulous guests lined up and I'll be having a good gossip and getting up to my usual antics!"
Holden will appear on Paul O'Grady Live on Friday April 15.