The rock legend gave Depp quite the introduction, saying, "The blues master, Mr. Johnny D. from Kentucky," as the actor jumped on stage wearing a brown hat, white tank top, vest and glasses.
They performed 18, School's Out and Pink Floyd's Another Brick in the Wall.
This isn't the first time Depp has rocked out on stage. He dropped out of school at age 15 to be a rock star. His garage band, the Kids, even opened for Iggy Pop before he landed his first role in 1984's A Nightmare on Elm Street.
So, what did Alice Cooper think of Depp's performance? "I think we could use another guitar player, right? Johnny, this whole movie thing... If it doesn't pan out, join us, okay?" The Sun quoted Cooper as saying.
Depp is currently in the U.K. working on Tim Burton's Dark Shadows.
Watch Johnny Depp play the guitar with Alice Cooper: