The band The Hold Steady has been featured in The Colbert Report .
The album was released May 4 on Vagrant Records in the U.S. and May 3 on Rough Trade in Europe.  . Following the release , the band appeared on Comedy Central 's The Colbert Report on May 13 , 2010 , for a brief interview as well as a performance of one of the songs ( `` Hurricane Jay '' ) from the album.  Hold Steady shows have featured new guitarist Steve Selvidge ( formerly of Lucero ) while Dan Neustadt ( also with In Cadeo , formerly of The World/Inferno Friendship Society ) played keyboards on Heaven is Whenever   .