On May 7, the band taped their last performance at the Ed Sullivan Theater with Letterman serving as host, which aired Friday.
In 1995, the rock group from Virginia first made an appearance on the late-night talk show and garnered attention from their television performance.
As May 20 draws closer, Letterman is preparing to take his final bow as host of the Late Show after a 22-year stint. Rolling Stone reported, "Letterman has always been a champion of artists that otherwise might not have been able to find a way onto national TV, and Dave Matthews Band is a prime example."
"It's awesome to be here and say goodbye to the great David Letterman," Matthews told the crowd. "The first TV show we ever did was the Letterman show, so this is crazy."
During an hourlong set, called "Legends on Letterman," which was broadcast on the show's website, the group performed several hit singles, and hinted to the audience that they may debut an unheard track later on the show. That song was "Black and Bluebird."
Fans will have the opportunity to hear the new song and see the band live when they begin their summer tour on May 13.