Duchovny and Leoni divorced in 2014. They share two adult children.
Set to air on Oct. 7, the former secretary of state will appear on the show with Colin Powell and Madeleine Albright.
ET exclusively debuts the emotional sneak peek from Tuesday’s episode.
In ET's exclusive clip, the 'Madam Secretary' star gets emotional after seeing a photo of her maternal grandmother for the first time. The episode airs Tuesday, Nov. 21 at 8 p.m. ET/PT on PBS.