 | Steve McQueen: The Lost Movie (2021) as Narrator |
 | Chuck Leavell: The Tree Man (2020) as Self |
 | Uncle Tom (2020) as Self (archive footage) |
 | My Darling Vivian (2020) as Self (archive footage) |
 | APEX: The Secret Race Across America (2019) as Self |
 | Between Two Ferns: The Movie (2019) as David Letterman |
 | Mike Wallace Is Here (2019) as Self (archive footage) |
 | Whitney (2018) as Himself (archive footage) |
 | Bathtubs Over Broadway (2018) as Himself |
 | Andre the Giant (2018) as Self (archive footage) |
 | Robin Williams: Come Inside My Mind (2018) as Self |
 | Jim & Andy: The Great Beyond - Featuring a Very Special, Contractually Obligated Mention of Tony Clifton (2017) as Himself |
 | Get Me Roger Stone (2017) as Self (archive footage) |
 | Mike and the Mad Dog (2017) as Himself |
 | The Making of Trump (2015) as Self (archive footage) |
 | Mary Tyler Moore: A Celebration (2015) as Himself / Audition Tape (archive footage) |
 | An Open Secret (2015) as Himself (archive footage) (uncredited) |
 | David Letterman: A Life on Television (2015) as Himself |
 | Life Itself (2014) as Self - TV Host (archive footage) |
| | Don Rickles: One Night Only (2014) as Himself |
 | The Night That Changed America: A Grammy Salute to the Beatles (2014) as Himself |
 | Me @ the Zoo (2012) as Self (archive footage) |
 | Johnny Carson: King of Late Night (2012) as Himself |
 | Corman's World (2011) as HImself - TV Host (archive footage) |
 | The Undefeated (2011) as Self (archive footage) |
| | Cutting Edge Comedians of the '60s & '70s (2007) |
 | Grizzly Man (2005) as Himself |
 | Warren Zevon: The Letterman Show Collection (2005) |
 | Private Parts (1997) as David Letterman |
 | Beavis and Butt-Head Do America (1996) as Mötley Crüe Roadie (voice) |
 | Eddie (1996) as David Letterman (uncredited) |
 | Bill Hicks: It's Just a Ride (1994) as Himself |
 | Cabin Boy (1994) as Old Salt |
 | I'm from Hollywood (1989) as Himself (archive footage) |
| | Steve Martin Live (1984) as Himself |
 | Night of 100 Stars (1982) |
 | Fast Friends (1979) as Matt Morgan |
 | Peeping Times (1978) as Dan Cochran |
| | Bathtubs Over Broadway Executive Producer |
