The segment, which aired on Thursday, involved the two comedians fitting their heads into a cardboard box in order to have a more intimate conversation.
Colbert asked O'Brien what can he expect to happen as he continues to be a late night host.
"You're going to learn, never humiliate a guest," O'Brien said in reference to being put into a cardboard box as he looked at the camera.
The pair also attempted to cry on command and perform Irish ballad "Danny Boy." Colbert ended the interview by having O'Brien sign his face with a marker that had been placed inside his mouth.
Colbert is set to host The Late Show live on June 26 and 27 following the first Democratic primary debates for the 2020 presidential election.