"We all challenge each other, everybody in the band, but we respect each other and everybody has a level of integrity," says Wynton Marsalis of his Jazz at Lincoln Center Orchestra.

Ask Wynton Marsalis about his dues-paying days as a teenage musician in New Orleans or his new live album with Willie Nelson, “Two Men With the Blues,” and the Pulitzer Prize-winning trumpeter, composer and bandleader happily answers in vivid detail.

Clay McBride Wynton Marsalis is busier than ever, with a big-band tour that brings him here for a rare pair of club shows Tuesday, a new live album with Willie Nelson, and a new opus that draws from blues, ragtime, mambo and marching-band music

But ask him to recall the last time he and his 14-man Jazz at Lincoln Center Orchestra performed in a club, as opposed to a concert hall or on a festival stage, and he draws a blank.

“It's unusual. We almost never play in clubs, so I can't remember when we last did,” said Marsalis, who performs two nearly sold-out shows here Tuesday night at downtown's 250-seat Anthology with his talent-packed big band.

“I know we played at a club a couple of times, but it's so rare I can't remember where. I know it's fun; it's fun to be that close together on stage. It's like when (Count) Basie played at the Famous Door in New York, the musicians were all really close together. 'Sweets' (Basie trumpet star Harry 'Sweets' Edison) told me what he loved about playing in that club is how it helped them get their dynamics together, because they were literally on top of each other.”

DETAILS Wynton Marsalis & The Jazz at Lincoln Center Orchestra When: Tuesday at 7:30 p.m. and 9:30 p.m. (9:30 p.m. show is sold out) Where: Anthology, 1337 India St., downtown Tickets: $35, 7:30 p.m. show ($35, $75, $150 for sold-out 9:30 p.m. show) Phone: (619) 595-0300 Online: anthologysd.com

Tuesday's Anthology shows mark the only club dates on Marsalis' 16-city summer tour, which also includes a Wednesday stop at the 17,500-seat Hollywood Bowl.

Such a disparity in the size of venues on successive nights might throw some musicians off their stride. But not Marsalis, whose past recording partners range from such jazz greats as Art Blakey, Herbie Hancock and Cassandra Wilson to Brazilian music star Moacir Santos, former San Diego violinist Mark O'Connor and Louisiana Cajun accordionist Zachary Richard.

And not his big band, which includes the other four members of his quintet – saxman Walter Blanding, pianist Dan Nimmer, bassist Carlos Enriquez and drummer Ali Jackson.

“We've always been playing, but never in just any one type of setting. And a lot of us in the band, our parents were musicians,” Marsalis, 46, said last week, from a tour stop in Edmonton, Canada.

“My father played cocktail hour at a hotel when I was in high school. I played in a funk band (as a teenager) that was so loud, you couldn't even hear. I played the circus one time and that was difficult, not because of the circus, but because you never stopped playing! Guys ran away from that gig. I didn't know why, so I said: 'I'll play it.' Man, that was 2½ hours of playing the entire time.”

It may be coincidental, or a simple twist of fate, but Marsalis has played music, seemingly nonstop, since before he could legally perform in most nightclubs.

One of six children of esteemed New Orleans pianist and jazz educator Ellis Marsalis, the trumpeter was not yet 18 when he left the Big Easy for the Big Apple. There, he joined Art Blakey's Jazz Messengers, a legendary band that had previously featured such trumpet greats as Clifford Brown, Lee Morgan, Freddie Hubbard and Woody Shaw.

Only 20 when his self-titled debut album was released in 1982, Marsalis a year later became the first musician on any instrument to simultaneously win Grammy Awards for both jazz and classical albums. He repeated that heady feat at the Grammys in 1984.

In 1997, exactly 10 years after he launched Jazz at Lincoln Center (JALC), he became the first jazz artist to ever win a Pulitzer Prize. That honor was bestowed upon Marsalis for composing “Blood on the Fields,” his ambitious, three-hour jazz oratorio about slavery, freedom and the tenacity of the human spirit.

Under his guidance, JALC left the Lincoln Center complex four years ago for its $128 million, 100,000-square-foot new home inside the Time Warner Center, a few blocks away. Overlooking Central Park, where it houses three adjoining live music venues, JALC is the world's largest and most elegant performing arts center dedicated exclusively to jazz.

Make that almost exclusively. In early January of last year, Marsalis and his quintet shared the stage in JALC's 550-seat Allen Room with Willie Nelson and his longtime harmonica player, Mickey Raphael, for four shows over two nights.

The result is “Two Men With the Blues,” a 10-song live album set for release Tuesday on Blue Note Records. It features two Nelson-penned chestnuts, “Night Life” and “Rainy Day Blues,” and an infectious romp through fellow country music icon Merle Travis' “That's All.”

The rest of the album mixes such timeless blues and jump-blues classics as “Caldonia,” “Bright Lights Big City” and “Ain't Nobody's Business” with gems from the American songbook, “Stardust” and “Georgia on My Mind” among them, that have long been staples of Nelson's repertoire.

“People love Willie,” an admiring Marsalis said. “He's an icon, man, because of his integrity and the amount of music he knows. He is the true definition of an American roots musician. He knows blues, country, jazz, pop and New Orleans music, and he's also a natural musician.

“He came to play, and Mickey Raphael is like that, too. It was a pleasure to work with them.”

Nelson's tour bus was conspicuously parked on a street adjoining Lincoln Center for the weekend of their joint performances. Marsalis laughed when asked if he got a contact high on the bus, given Nelson's well-publicized fondness for smoking marijuana.

“No, I didn't get a contact high,” he said, “but I went on the bus.

“I don't know the exact year we first played together. But we did a benefit at JALC, celebrating jazz and the blues. And, that night, the guests were Willie, Ray Charles, B.B King and Eric Clapton. The rehearsals with Willie, well, he just started playing. He doesn't talk that much, and I tease him about that all the time, but he has the natural musicianship that the New Orleans musicians have.

“So, from that experience, we said that we'd put something else together. And then we ended up playing together last year in the Allen Room.”

No matter the style of music, Marsalis is a self-described workaholic.

In April, he commemorated the 200th anniversary of New York State's oldest African-American church with “Abyssinian 200: A Celebration,” a 19-part piece based on the liturgy used in many African-American Baptist churches.

Marsalis is now uncharacteristically past deadline on his latest extended composition, as opus for jazz ensemble and orchestra that he will debut this fall as part of JALC's 21st anniversary concert season in New York. As yet untitled, the piece draws from blues, the mambo, ragtime and the marches Marsalis played as a young trumpeter growing up in New Orleans.

“For most of my pieces, I do a lot of research,” he said. “With this one, I'm just going with what I know.”