The episode is to air Nov. 21.
Ferrell appeared as Burgundy on the late-night chat show in March 2012 when he announces "Anchorman 2: The Legend Continues" was going to be made.
"It's thrilling to be on the Conan O'Brien show, a top-flight show. I'm excited to hear he's still on television," Burgundy said in a statement.
Swim Week Miami Beach 2014 [PHOTOS]