The pair's follow-up to Extras has been billed as a "naturalist observational comedy" which gives a fictional account of the life of dwarf actor Warwick Davis.
Writing on Twitter, singer Ellis-Bextor said: "Filming today w Warwick Davis, Ricky Gervais, Stephen Merchant & Sting for series 'life's too short'. cameo for me, playing myself. Testing. (sic)."
TV presenter Cat Deeley has reportedly signed up for a "major role" in the show.
Hollywood star Johnny Depp is also in line for a guest slot on the programme.
Davis has described the project as a "dream come true" and "a unique experience".