The Obamas will tape the episode April 27 at Harpo Studios in Chicago, the White House said Tuesday. The show is set to air on May 2.
Winfrey was an enthusiastic supporter of Obama when he ran for office. Neither Winfrey's staff nor the White House has said what the topics will be for the upcoming interview.
Meanwhile, advertisers who want a spot on Winfrey's final episode will have to pay big bucks. A 30-second ad in the final show will cost $1 million.
The last time a TV series charged that much for a commercial spot was the final episode of "Everybody Loves Raymond," although it's not unusual for special events like the Super Bowl to have steep ad prices.
Winfrey announced in November 2009 that she would end her talk show's run after 25 years. She has since launched cable's Oprah Winfrey Network.
The last episode of "The Oprah Winfrey Show" will air on May 25, bringing an end to what has been television's top-rated talk show for more than two decades.
The Associated Press contributed to this report.