The clip released Tuesday, features Fiennes portraying the pop icon alongside Stockard Channing as Elizabeth Taylor and Brian Cox as Marlon Brando as the trio embark on a road trip out of New York following the September 11 attacks.
"I sensed danger!" Fiennes says donning Jackson's signature fedora.
"You always had such keen senses, Michael," Channing replies before Cox mutters, "Like when he sensed Prince was trying to kill his monkey through dreams."
The trailer also features clips of Iwan Rheon as Adolf Hitler, Rupert Grint as his friend, Ben Chaplin as Cary Grant, Aidan Gillen as Dr. Timothy Leary, Eddie Marsan as Bob Dylan, and David Threlfall as writer Samuel Beckett.
Urban Myths, an eight-part series that recreates rumored stories about celebrities, premieres on Sky Arts starting Jan. 19.
In 2011, Vanity Fair first reported on the alleged car ride between Jackson, Taylor and Brando noting that they reached as far as Ohio as air travel was temporarily banned.
"It's a fun, lighthearted, tongue-in-cheek road trip of what celebrity of that kind is like," Fiennes said previously of the segment. "But also it's rather beautiful and poignant about their relationships."