Russell, who has just wrapped an ad - in which he appears with Britney Spears - to promote the September 7 music event, was at ease as he took his seat alongside the Desperate Housewives star.
Eva, a close of pal of fellow Brits Victoria Beckham and Kate Beckinsale, seemed to hit it off with the 33-year-old, who kept both the actress and Jay entertained throughout his interview.
With his film Bedtime Stories, in which he shares the screen with Adam Sandler and Guy Pearce, due out in December, Russell looks set to follow in the footsteps of fellow UK funnymen Ricky Gervais and Sacha Baron Cohen in making an impact on the US.