O'Brien is joining the first lady on the first leg of a week-long trip to Qatar and Jordan to promote her girls' education initiative, "Let Girls Learn" and the "Joining Forces" program.
The two will visit the Al Udeid air base near Doha where O'Brien will perform for the more than 11,000 U.S. service members stationed there.
Before embarking on their journey, the two interviewed each other in People magazine, discussing the Joining Forces Initiative, which aims to use public-private resources to help service members and their families.
Readers also learned that the first lady may have a secret desire to take a military tank out for a spin.
"You are the first lady of the United States, and all around you is this cool military hardware," O'Brien asked Obama. "Are you ever tempted to take a jet out for a ride or a tank for a spin?"
"Absolutely not. It would be inappropriate for a first lady to even think about something like that," Obama responded. "It would be even more inappropriate for her to ask Secret Service about it every single day for nearly seven years. And of course, it would be totally out of line for her to talk about it in a magazine. So I'm sticking with 'absolutely not.'"
But that wasn't the only secret revealed. In the same teasing fashion, the first lady asked O'Brien if he brought any special products to keep his flaming-red hair perfectly coiffed.
"There's an elite branch of the Department of Defense that's been working for months on maintaining my pompadour in combat conditions," O'Brien joked. "Let's just say billions have been spent and this may lead to a congressional inquiry."
The two arrived in Doha on Monday. Obama is scheduled to give a speech on the Let Girls Learn initiative Wednesday at the 2015 World Innovation Summit for Education.