The popular syndicated talk-show host is scheduled to appear in the season's second episode, airing Nov. 6.
Winfrey filmed her role at "30 Rock's" Silvercup studios in New York City Saturday, Teri Weinberg, executive vice president of NBC Entertainment, said Thursday.
"Oprah Winfrey's presence on '30 Rock' makes this episode a television event," Weinberg said. "She is a true legend in her own time, and in this comedy's tradition, it provides the perfect showcase for stars of her renowned status. We are all thrilled."
"Oprah is very funny in the episode and we are beyond grateful to have her. Also, I would like to announce that we are officially best friends," Tina Fey, creator, executive producer and star of "30 Rock," said in a statement.