Khaled was in NYC Friday -- to promote his new album, "Father of Asahd" -- and we asked about a special track he has with Nipsey and John Legend. It's clear to see, Khaled was touched, and loved working with Nipsey.

TMZ obtained footage from the set of the music video with Nipsey and Legend in what we're told was the last music video Nip ever shot. The three stood on top of a parking structure with tricked out cars and a piano ... the song is called "Higher" and has an emotional feel.

Khaled also shouts out "The Marathon Continues" -- Nipsey's famous slogan, tied to his clothing store -- throughout the interview before heading to Times Square for more album promo. Khaled will also be on 'SNL' this weekend.

Nip isn't the only celeb on Khaled's latest project ... he's also got Travis Scott, Cardi B, Lil Wayne, Jay-Z and a ton of others.