Robert Plant, Jimmy Page and John Paul Jones are reuniting for a rare television interview which is to air tonight (December 3) on Letterman's CBS series.
Led Zeppelin will be promoting the release of their film Celebration Day, which chronicles their one-off 2007 reunion concert in London.
The group are not expected to perform as Paloma Faith has been announced as Late Show's music guest for Monday.
The Office's John Krasinski will also be interviewed by Letterman on tonight's episode.
Led Zeppelin's appearance on Late Show comes just one night after they were honoured at the Kennedy Center alongside Letterman.
Highlights from the 2012 Kennedy Center Honors will air on Wednesday, December 26 at 9/8c on CBS.
Plant, Page and Jones have made several promotional appearances for Celebration Day, but rumours of a new tour have been ruled out.
Watch a Celebration Day trailer below: