Ferrell plays Detective Allen Gamble and Wahlberg plays Detective Terry Hoitz, who stumble onto a case nobody else wants, but could turn out to be the biggest crime in New York City.
They may not be heroes, but as "the other guys," they get the job done -- and are a barrel of laughs.
Ferrell and Wahlberg sat down with "Early Show" co-anchor Harry Smith to share some laughs and chat about the movie.
Ferrell's wife is played by the stunning Eva Mendes, whom he refers to as a "hobo," which couldn't be farther from the truth.
Wahlberg's character is shocked when he realizes who she is and can't take his eyes off her.
"(It was) one of the more difficult scenes to play. She's actually not that attractive, so to go to that place and think she's beautiful is really challenging," Wahlberg joked.
Their characters are also joined by fellow NYPD detectives Christopher Danson and P.K. Highsmith, played by Dwayne Johnson and Samuel L. Jackson. The two are considered the biggest and baddest cops in New York, unlike Ferrelll and Wahlberg.
"It's quite fascinating, because you've done these docudramas before where they're so richly rooted in real life, like 'Talladega Nights' and 'Anchorman.' Once again, did you have to become real policemen to make this movie?" Smith joked.
"Believe it or not, I actually went to a shooting range. I learned how to fire a firearm, even though I don't ever in the movie," said Ferrell, adding he did a ride along in a cop car. "And then I get the wooden gun taken away and I get a rape whistle."
Wahlberg kidded that he didn't have to do any training because he's done so many movies -- and he's had his share of time in the streets of Boston.
"I've been carrying a gun since I was 7 years old, dude," he joked. "Packing heat. On the streets, baby."
However, in this film, Wahlberg surprisingly plays more a of "dweeb" than Ferrell this time around.
"Yes. People always think, you know, well, I'm in a movie with Will so I must be the straight guy and he's the funny guy but my character is -- I'm more flawed than his, a little more pathetic," he said.
So was Walberg always more of a dweeb than a hulky action hero and fooling us over these years?
"What are you saying?" he asked.
"He's more of a sensitive flower than he would like you to know," Ferrell added.
"Listen, I'll do anything for a dollar," Wahlberg joked. "No. You know, doing a comedy, strangely enough, more difficult and challenging, in my opinion. Strictly from a fear standpoint, for me to let my guard down, to risk looking ridiculous was something that I only wanted to do in the right time with the right person. Certainly with Will, it makes it very easy, because he makes himself look ridiculous all the time."
"Every waking moment," Ferrell added.
Smith points out that maybe the most essential element in this movie is the world's single living best Red Sox fan, Wahlberg gets to shoot Yankee's baseball player Derek Jeter in the beginning of the movie.
"I thought it was a joke. I thought, 'Are you serious in I really get to shoot Derek Jeeter?' Then I was so excited and then I felt bad because upon meeting him he was such a great guy, so when it came time to do the movie, I actually became a fan of his - not necessarily the Yankees," Wahlberg said.
Smith said the first time he interviewed Ferrell he told him that when he was on "Saturday Night Live" he was voted most hated newcomer.
And look at him now...
"I fought through it," Ferrell joked.
"The Other Guys" hits theaters August 6.