Murray was the first guest on the chat show 20 years ago and he returned to the program in style to help celebrate its two-decade milestone.
He arrived onstage in a white vintage Rolls-Royce below a sign written in script lettering that reads "Billy."
Wearing a white Liberace-style outfit, complete with a cape, and carrying a white toy poodle, Murray was helped out of the car by a young, blonde man, wearing a gold-and-white chauffeur uniform.
"Wow, that was wonderful, Bill," Letterman said, giving Murray a standing ovation. "Wow. Delightful. ... I didn't know you had a dog."
"I had to get something that went with this outfit," Murray quipped.
"Well, you really have -- my heart has now taken flight," Letterman joked.
"Thank you, Dave," Murray said.
"You know, I love you, audience. I love you, but I don't have time tonight, 'cause I'm only here for one reason," Murray added, pointing to Letterman.
"Oh, that's very special," Letterman said.
Celebrity Families of 2014 [PHOTOS]