The rendition was performed in tribute to the Foo Fighters' late drummer Taylor Hawkins, who passed away on March 25.
The two musicians' unlikely collab was most likely orchestrated following Eilish's recent public condolences and messages of love for Hawkins. At the Grammy Awards earlier this year, the singer sported a t-shirt with Taylor's image on it during her performance, while Grohl and his family watched from their home.
"Earlier this year all of the Foo Fighters and our families gathered together at my house to watch the Grammys, and when Billie came out for her performance in a Taylor Hawkins t-shirt, the room was filled with real tears of love and gratitude" says Grohl to Eilish prior to the pair's duet. "So from our families who aren't here tonight, and the Hawkins family and everyone, we'd like to thank you very much. So let's sing it for Taylor."
Back in March, Eilish's musical partner/brother Finneas O'Connell, honoured the drummer with a heartfelt speech while in conversation with Access Hollywood's Scott Evans and Zuri Hall on the red carpet of the 94th annual Oscars ceremony.
"Taylor was such a legendary player" he said at the time. "We were admirers of his work years before we got to meet him. And we only met him a handful of times — I wish we got to spend more time with him — but he couldn't have been a kinder, cooler, more generous person as well. And such a deeply inspiring person. We're just heartbroken."
While Eilish offered: "It was incredibly heartbreaking. It was right before we went on stage. And we got the news, and it really, really tore us all apart. It's horribly, horribly tragic."
My Hero was previously performed in tribute by Taylor Hawkins' son Shane, who covered the track on drums alongside the band at the two concerts held in the late drummer's honour in September.
Watch fan-filmed footage of Dave and Eilish' duet below: