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US chat show host David Letterman's final guest will be his first ever - Bill Murray

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David Letterman

David Letterman

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Actress Julia Roberts visit "Late Show With David Letterman" at Ed Sullivan Theater on May 13, 2015 in New York City.  (Photo by Slaven Vlasic/Getty Images)

Actress Julia Roberts visit "Late Show With David Letterman" at Ed Sullivan Theater on May 13, 2015 in New York City. (Photo by Slaven Vlasic/Getty Images)

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Actor Bill Murray

Actor Bill Murray

George Clooney visits "Late Show With David Letterman" at Ed Sullivan Theater on May 14, 2015 in New York City.  (Photo by Chance Yeh/Getty Images)

George Clooney visits "Late Show With David Letterman" at Ed Sullivan Theater on May 14, 2015 in New York City. (Photo by Chance Yeh/Getty Images)

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Oprah Winfrey visits "Late Show With David Letterman" at Ed Sullivan Theater on May 14, 2015 in New York City.  (Photo by Chance Yeh/Getty Images)

Oprah Winfrey visits "Late Show With David Letterman" at Ed Sullivan Theater on May 14, 2015 in New York City. (Photo by Chance Yeh/Getty Images)

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David Letterman

US chat show host David Letterman will end his series with Bill Murray - his first ever guest.

After 33 years on air, the iconic host will retire and is wrapping his illustrious television career with the legendary actor, according to Time.

Murray, who was pre-Ghostbusters superstardom, appeared on The David Letterman Show on NBC in 1982, was the first celebrity to sit on the chair for an interview that went down in television history.

Murray told Letterman during the interview: “You got out of Indianapolis and didn’t look back. I’m just waiting for the other shoe to fall on you, man, and I want to be there when it hits the floor! I had a chance to strangle Richard Nixon and I didn’t—and I regret it!”

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Actor Bill Murray

Actor Bill Murray

Actor Bill Murray

Exact details of his last ever episode are remaining under lock and key, with Murray featuring in his second last, before wrapping on Thursday, May 21. Howeve, CBS confirmed the finale will be "an hour filled with surprises and memorable highlights."

In the run-up to Thursday's episode, Letterman has recruited A-listers across all disciples for a trip down memory lane, including Tom Hanks and Julia Roberts.

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Actress Julia Roberts visit "Late Show With David Letterman" at Ed Sullivan Theater on May 13, 2015 in New York City.  (Photo by Slaven Vlasic/Getty Images)

Actress Julia Roberts visit "Late Show With David Letterman" at Ed Sullivan Theater on May 13, 2015 in New York City. (Photo by Slaven Vlasic/Getty Images)

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Actress Julia Roberts visit "Late Show With David Letterman" at Ed Sullivan Theater on May 13, 2015 in New York City. (Photo by Slaven Vlasic/Getty Images)

Watch David Letterman's first ever interview with Bill Murray in 1982:

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