This was Winfrey's second visit to the program and her first since Dec. 1, 2005.
Asked how long she has been meditating, Winfrey told Letterman during the taping of his show: "Well, actually, I brought meditation to my whole company just before I ended [my show], like in 2010, because it makes for a better environment when everybody is focused and of one mind and doing well. ... .
"Do you meditate? I can tell you don't, Never mind. I was just asking that. You know, I'm just being polite. I can tell you don't," Winfrey told the show's host.
"No, I do," Letterman insisted as the audience laughed.
"I don't believe you. I don't believe you," Winfrey said.
"No, I mean, why would I lie about that?" Letterman inquired.
"No, yeah, why would you lie about that?" Winfrey agreed.
"I'm meditating right now," Letterman said as Winfrey chuckled.
"We had a guy called Meditation Bob, and he came up to the -- no, this is true," Letterman said. "And he came up there and he taught a bunch of us how to meditate, and it was like four nights and a thing and then now I can meditate anytime I want."
"You need to find something, and it doesn't matter what you call it. If it's just sitting and being still, if it's reflecting, if it's, you know hugging your children, hugging your dogs, giving some time to that," Winfrey said. "It's all good."
"If it's vodka and pills," Letterman noted. "That's a way to go."
Winfrey will be seen on the big screen this month in "Lee Daniels' The Butler."