Obama also asked if he needed to have a British accent during the interview.
The interview will air on BBC News Radio 4 on December 27, and we're definitely going to be tuning in.
In a teaser released Sunday, the pair's long-standing bromance was on full display as they traded quips while Harry explained his editorial process.
The interview, which was recorded in Toronto during the Invictus Games in September, features Obama's memories of the day he left office and his hopes for his post-presidential life as part of Harry's guest editorship of the program. "Do I have to speak faster?"
"The interview focuses on their shared interest in building platforms for the next generation of young leaders", Kensington Palace wrote on Twitter.
Prince Harry later confessed: "You're excited about this and I'm nervous about it, that's what's quite amusing", to which Mr Obama replied: "I will interview you if you want".
"Oh, ok. I don't want to see that face", says Mr Obama.
Prince Harry has interviewed Barack Obama.
A video clip showing friendly banter between Prince Harry and President Obama is getting a lot of online love and attention.
Since Obama left the Oval Office, he has met Harry a number of times including stopping into Kensington Palace in May while he was touring Europe.
It's reported Mr Obama even teased Harry about his romance with Meghan Markle earlier this year at the Invictus Games.
Last year, Obama and his wife, Michelle, challenged Harry and his British competitors "to bring it" ahead of the event in Orlando.