She will travel to Basra, southern Iraq, to follow the pilgrims who march toward Karbala on Arbaeen.
Bigelow is the first woman who has received an Academy Award for Best Director for her film The Hurt Locker.
Arbaeen marks 40 days after the martyrdom of Imam Hussein, the grandson of the Prophet Muhammad (PBUH) and third Shiite Imam.
Each year, a huge crowd of Shiites march toward Karbala, Iraq, where the holy shrine of Imam Hussein is located, to perform mourning rites.
In the past few years, around 20 million pilgrims from all over the world, including Iran, took part in the mourning ceremonies in Iraqi holy cities marking Arbaeen.
This year, Arbaeen falls on Sunday, November 20.