The video is for "Lay Me Down", a track that appears on Lynn's upcoming album, Full Circle, which drops March 4.
Nelson's Facebook page shared a photo from the set on Wednesday.
Both country legends will perform in Lone Star State this March. Lynn will appear at the annual South By Southwest music festival in Austin. Nelson will play the Austin Rodeo on March 12, and will host his annual Luck Banquet at his ranch in Luck, Texas on March 18.
Lynn is also the subject of an upcoming episode of American Masters on PBS special.
Nelson also has a new project, Summertime: Willie Nelson Sings Gershwin. The album features a collection of Gershwin covers, including "Someone to Watch Over Me", which Nelson previewed last week. Last November, Nelson won the Gershwin Prize for Popular Song. The country legend has long cited the Gershwin brothers music as an influence on his own.