The brothers will be guests on Wednesday's edition of the show, which tapes in Los Angeles.
"All five of [former Mass.] Gov. Romney's sons -- Tagg, Matt, Josh, Ben and Craig Romney -- will sit down with host Conan O'Brien for their first joint interview of the campaign and their first-ever interview on a late-night program," the cable network said Monday.
O'Brien was born in Brookline, Mass.