The popular late night entertainer brought his crew and California's Off the Wall band to Camp Taqaddum for an open-air show, Marine.com reported Saturday.
"How about a nice hand for Jay Leno, ladies and gentlemen," joked Letterman as he started his show. He then asked for a volunteer from the crowd and hundreds of hands shot up in the air.
"Isn't that how you got here?" Letterman asked.
The Marines roared with laughter at his response to being in a combat zone: "I haven't seen anything like this since the last Pistons-Pacers game. If I wanted to face insurgents I would've spent Christmas with my relatives."
Letterman also took a few well-received jabs at Iran, suspected of meddling in Iraq's internal affairs.
I hear "Iran is developing a nuclear bomb; good news is that they're dropping it from a camel," he said.
Ilana, the Late Show Grinder Girl, and Anna, the Hula Hoop Girl, also got a warm welcome of cheers and applause as they performed their unique acts.