Leno's last show will be broadcast on Friday, May 29, Access Hollywood reports. Other guests during his closing week of the show will be Mel Gibson, Lyle Lovett, Arnold Schwarzenegger, Wanda Sykes, Sara McLachlan, Dwight Yoakam and Billy Crystal.
The star said that he expects his new primetime show to compete well in the 10pm time slot with shows like CSI and Law & Order.
"I like CSI and SVU and Law & Order, but there isn't any comedy. When I was a kid, you'd have a whole night of comedy. Now it's all very serious, it's all murder," he said.
O'Brien will take over for Leno as host of the Tonight Show on June 1.
"It's a peaceful transition of power. I really do like the guy," Leno said of the new presenter.