Prince Harry appeared on the popular chat show, where he was filmed screaming as he moved through a haunted maze with Jimmy Fallon, as part of a Halloween experience called Jimmy Fallon's Tonightmares at New York's Rockerfeller Centre.
Prince Harry did not take part in a typical interview, instead opting to take part in this.
The British royal was announced as the first surprise guest of the Halloween experience, as part of a week of high-profile appearances in the Big Apple.
Such appearances include several engagements in an east-coast trip without his wife Meghan Markle, during UN General Assembly High Level Week and Climate Week.
On the night, Prince Harry had a camera strapped to his chest, and appeared edgy as he navigated his way through the maze.
When asked if he scares easily, Prince Harry replied: "Not normally, but today might be different," before appearing to be frightened by a dressed-up panda.
However, in one comical moment, Prince Harry compared the haunted panda to singer Michael Bublé.
"Is that Michael Buble? Good job buddy", Prince Harry said.
The show's YouTube page said this: "Brace yourself for 10 spine-chilling rooms that bring Jimmy’s worst nightmares to life with sinister characters and scares around every corner".
Check out footage of this below.
This comes after Prince Harry also appeared as a star guest at New York's Clinton Global Initiative on Tuesday, where he passionately called for action to be taken to tackle the "pervasive threat" that the online world can pose to children.
"Our kids can’t wait", he said in a speech, while also suggesting that the effects of social media mean that people can be used for a "human experiment", instead of enjoying a "human experience".
Next Monday, Prince Harry is to return to the UK to attend the WellChild annual awards.
