Harry, who is set to appear on the hit show on Wednesday night, local time, teased the news in a video featuring a viral Great British Bake Off soundbite.
Colbert's other guests are Academy Award nominee Michael Shannon and Irish actress and singer Jessie Buckley.
Wednesday's visit will be the duke's second Late Show appearance, having last visited in January 2023 to promote his memoir Spare.
His first appearance on the show set a two-year viewership record and made international headlines.
The announcement was also shared by the Duchess of Sussex, who previewed the clip on her Instagram story.
Harry and Meghan have been raising their children in Montecito, California, since announcing they were stepping back as working members of the royal family in January 2020.
The couple have since been at the centre of tensions with other royals, with the duke becoming estranged from his father, the King, and his brother, the Prince of Wales.
During his 2023 interview, Harry said he watches and fact-checks the Netflix series The Crown.
At the end of Harry's interview two years ago, Colbert asked: "You've watched The Crown, right? You've got to have watched some of The Crown, right?"
Harry looked at the audience and paused briefly before saying: "There's people laughing at that - yes, I have actually watched The Crown."
"The recent stuff or the older stuff?" Colbert asked.
The duke replied: "The older stuff and the more recent stuff."
Colbert continued: "Do you fact-check it while you watch it?"
Harry then jokingly pretended to take out a notepad and mimed taking notes before laughing: "Yes, I do actually."
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