Ferrell's appearance on the debut show neatly bridges O'Brien's previous gig with his new one: The actor visited O'Brien for his final Late Show in February.
Also joining O'Brien for the inaugural evening will be Pearl Jam, who will break in the stage as Tonight's first musical guests.
Leno concludes his run as the late-night show's host May 29, after 17 years at the show's helm. He'll be back this fall with a prime-time series on NBC.
Will you tune in to see Conan take over?