Megyn Kelly will debut her new show with a sit-down with the entire Kardashian family ... minus 2.

Sources involved in the interview tell TMZ ... the reason Megyn was on the set of 'KUWTK' Thursday was to tape a very long interview with Kim, Khloe, Kourtney, Kylie, Kendall, and Kris ... everyone but Rob and Cailtyn. Ryan Seacrest, the producer and brainchild of the show, was also interviewed.

You don't see Kim in the pics, but we're told she was there.

Our sources say they were told the interview would consume Kelly's premiere Sunday night show in June on NBC.

The entire family rarely does interviews together ... nonetheless it's unclear whether Kelly walked away with a headline.

Kim discussed her Paris robbery this week on 'Ellen.'