Favreau will take charge of Wednesday's edition of the late night show as part of a Cowboys & Aliens-themed week.
In addition, over the course of the week Cowboys & Aliens stars Daniel Craig and Harrison Ford will also make appearances on the series.
Quentin Tarantino, J.J. Abrams and Michel Gondry are among those who have previously directed episodes of Jimmy Kimmel Live.
Favreau recently revealed the secret to his Hollywood success, saying that he learned to not be intimidated by failure.
It was reported on Sunday that Ford will take on the lead role in an adaptation of crime novel Black Hats, playing a Los Angeles detective named Wyatt Earp.
Watch the trailer for Cowboys & Aliens below: