Brody, who has also appeared in Anderson movies "The Darjeeling Limited," "The Grand Budapest Hotel" and "Fantastic Mr Fox," plays the train’s conductor.
The short film, titled "Come together," tells the story of train passengers travelling to meet their loved ones for Christmas. Snowy weather threatens to spoil their plans but the strangers conspire to create a festive surprise.
The characters in the ad wear clothing from H&M’s holiday collection.
Pernilla Wohlfahrt, head of design and creative director at H&M, said: "The winter train ride, under Wes Anderson’s direction, is the perfect setting for H&M’s holiday collection full of relaxed, wearable elegance. It’s about mixing the informal with a sense of occasion, capturing the holiday mood for both dressing up and getting cosy with loved ones."
Adam & Eve/DDB created the campaign. The agency has worked with the retailer since 2015 and launched its David Beckham films.
Brody said: "This story may resonate more than ever at a time in the world where we could all do with giving a stranger a hug."
H&M’s 2015 Christmas campaign starred pop singer Katy Perry as a sugar plum fairy in a glittery world of giant gingerbread men and tin soldiers. More recently, H&M’s ads have featured David Beckham and comedian Kevin Hart as an odd couple who get into mishaps such as a disastrous road trip to Las Vegas.