O'Reilly revealed that he has wanted Clinton to appear on The O'Reilly Factor since it premiered 15 years ago, according to Deadline.
Clinton's interview apparently will air on December 20 on Fox News.
In October, Clinton celebrated the tenth year anniversary of his foundation with a concert titled A Decade of Difference: A Concert Celebrating 10 Years of the William J Clinton Foundation.
Lady GaGa, Kenny Chesney, K'Naan, Usher and U2 were among the performers in the lineup.
Lady GaGa sang a rendition of 'Happy Birthday' to Clinton on his 65th birthday during the concert. The pop singer also changed her hit song 'Bad Romance' to 'Bill Romance' in honour of the ex-world leader.
Watch Lady GaGa serenade Bill Clinton below: