The group has recorded the track The Bear & The Maiden Fair, which features Martin's lyrics and music from the drama's composer Ramin Djawadi.
The tune will feature heavily in the upcoming third season of Game of Thrones as it's a popular song beloved by noblemen and commoners alike.
Show creator David Benioff tells Entertainment Weekly magazine, "We wanted our rendition to be bawdy and a little sloppy - drunken musicians getting up on the table and jamming while the rowdy party continues around them. There was no one better for the job than the Hold Steady, and the song they delivered has been stuck in our heads for the last four weeks."
The band will release the track as a seven-inch vinyl single on Record Store Day (20Apr13).
The Hold Steady aren't the only musicians associated with the show - the National recorded The Rains of Castemere for a season two episode, ailing rocker Wilko Johnson played an executioner on screen and this season Coldplay's Will Champion and Snow Patrol frontman Gary Lightbody have booked cameo appearances.