O'Brien is scheduled to call the second race of the day. He'll share the booth with longtime track announcer Trevor Denman.
Denman says his advice to O'Brien is to "keep it simple and try and have fun with it."
The Breeder's Cup World Championships will be held November 1-2, comprising 15 races with more than $25 million in prize money. It's the richest event in thoroughbred racing.
O'Brien hosts "Conan" weeknights on TBS.
The Associated Press contributed to this report.