The movie will premiere in The Weeknd’s hometown at the Toronto International Film Festival this September.
The band will be joined on the Hyde Park bill by The National, Nadine Shah, Blood Orange and more.
"Our world without you wouldn’t be rhapsodic, triumphant or brilliant", Headey says of the late Queen star in the clip.
The duo are joined by Nuno Bettencourt, the show’s co-creator and showrunner D.B. Weiss and 'Game Of Thrones' composer Ramin Djawadi.
The Icelandic stars will also appear on 'The Tonight Show with Jimmy Fallon' (NBC) on 15 May
The London band released the special track last month after it debuted during Episode 2 of the hit show’s final season.
The track also features prominently on the recent 'For The Throne' compilation album.
The song was aired in 'Game Of Thrones'' ‘A Knight of the Seven Kingdoms’ episode, which reportedly attracted 10.29 million viewers on its initial live broadcast on HBO.
Florence Welch says: "The magic and ritual in Game of Thrones, not to mention the costumes, have always appealed to me. I am honoured to be a part of the final season.”
If you’ve ever wanted to hear a heavy metal rendition of the show’s theme song, now is your chance.