The Obamas took turns answering Winfrey's questions during a taped interview at Harpo Studios, her first in 25 years with a sitting president and first lady. Following the taping, Obama flew to New York for a trio of fundaraisers scheduled Wednesday night across midtown Manhattan.
The episode with the Obamas, set to air on May 2, will be one of Winfrey's last. Her syndicated show goes off the air in May.
Winfrey was a vocal supporter of Obama during his 2008 presidential campaign -- giving her first-ever political endorsement. She joined him at campaign rallies that drew supporters by the thousands, raised money for him and cheered for him at the Democratic National Convention.
On election night, she was seen weeping in the crowd during Obama's victory speech in downtown Chicago.
"Her show is coming to a conclusion of a terrific run," White House spokesman Jay Carney said. Obama "considers Oprah a friend and he looks forward to being on the show."
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.