CNBC's John Harwood preparing for his cameo on the set of Amazon's new series "Alpha House." He is standing next to actress Evie Colbert, wife of Stephen Colbert.

OLD WESTBURY, N.Y.—Wednesday started like many of my workdays do, in a television studio for a 6 a.m. appearance on CNBC's "Squawk Box." Then came my half-day escape from reality.

I came here to appear on an unfamiliar kind of TV show: "Alpha House," an entertainment program produced by Amazon Studios, a unit of the e-commerce giant. My friend Jonathan Alter, a longtime political reporting colleague who helps produce the show, recruited me as he has many others in the NBC family.