The Hollywood star attended the band's show in San Pedro, California in April, 2011 and was then invited to hop onboard the I Will Wait hitmakers' vintage train to join their Railroad Revival Tour.
Gyllenhaal admits he was hesitant to take up the offer because he is not a fan of the nomadic lifestyle and desperately tried to make up excuses to convince his pal Marcus Mumford to leave him behind.
However, the actor's efforts failed and he soon found himself rolling through the American countryside.
He explains, "The show finished in San Pedro and I was about ready to go home and Marcus Mumford came up to me and he goes, 'Get on the train, just get on the train'. And I was like, 'Ah, I have to admit, I like my life a little planned, I'm like that...' and I was like, 'I have so much to do, I can't.' He was like, 'What do you have to do?' 'Ah, so much, so much...' and I said, 'And you know, my contact lenses, I don't have an extra pair of contact lenses!' And sure enough, it was like, every band (on the tour) there and they gathered round and it was like, 'Get on the train! Get on the train!'"
Gyllenhaal ended up joining his pals on the road and he admits it was a "once in a lifetime" experience.
He continues, "They had a whole train cart with all instruments that was recorded the whole time and people would play, pick up any random instrument, it was incredible... I ended up staying two weeks on the train and I had my contact lenses sent to me by my mother!
"I kept the same pair (of lenses), I got some saline... and I would get new shirts... and I ripped my pants playing a pick up basketball game and I ended up having them sewn on the train..."
He even got the chance to play with Mumford & Sons onstage: "I ended up playing the horn, in the horn section, it's the only place to be!"
The travelling group ran into a little extra drama during the tour - the actor recently revealed he helped talk Texas state troopers out of searching the train after stopping them en route to the desert city of Marfa.