The actor stars in the History Channel programme about two feuding families from 1882 to 1888.
"[My band Modern West] wrote the theme song for the movie and then we did a concept album that spoke to the whole time of Appalachia called Famous for Killing Each Other, and that will come out about a week before the movie comes out. So if you like music, I think you'll really like it," Costner told New York Magazine.
He added: "It's not all bluegrass music; it's all themed around the Hatfields and the McCoys. Just because I was doing the movie, I started to really absorb the violence, and the whole record is about the concept of the [families]."
Hatfields & McCoys also stars Bill Paxton, Tom Berenger, Matt Barr, Jena Malone and Boyd Holbrook, who was recently cast in Very Good Girls opposite Elizabeth Olsen and Dakota Fanning.
Hatfields & McCoys will premiere on Monday, May 28 at 9pm ET on the History Channel.
Watch the trailer for Hatfields & McCoys below: