The show included throwbacks to Vogue, Like A Prayer and La Isla Bonita, as well as more recent hits including Medellin and Batuka - and her fashion evolution continued with several costume changes.
In an Instagram post on Wednesday night, the Material Girl singer posted a video of her daughter Estere drumming backstage ahead of the concert, and wrote: "Getting Ready for our first show in London! Let's Go UK!"
However, the audience was banned from using their mobile phones and smart watches during the gig which were sealed in pouches.
While some fans complained of the "stress" of the ban, many said that without the distraction of a sea of glowing screens from the crowd it made for a "good concert experience".
Due to the 2,286-capacity venue, it also made for a more intimate concert too.
One fan tweeted: "Best thing about Madonna tonight : removal of all phones. Everyone had to lock their phone up and it was so great to just watch the stage and not a million screens filming. More. Of. This. Please. #newlaw."
Another wrote: "I love the fact that Madonna has a no phones rule at her gig... it means people actually watch and enjoy the show rather than spend the whole night watching through the phone. #MadameXTour."
The star reportedly joked on stage that she was having "little panic attacks" without a phone to hand, adding: "I'm like, 'why is no one taking my picture?'"
She is not the only artist to endorse mobile phone-free concerts.
Alicia Keys also asks her fans to put their phones in a special pouch, while others have called out fans filming while on stage.
During a 2013 concert in Atlanta, she told a fan to stop filming and enjoy the music, and similarly Adele told a concertgoer in Verona, Italy, to enjoy the gig "in real life rather than through your camera".
Madonna was due to perform the first of 15 shows on Monday but pulled out, announcing on social media that "I have injuries that have plagued me since the beginning of the tour but I must always listen to my body and put my health first".
Earlier in the week, the singer cancelled a show in Lisbon, Portugal.
She had recently said she was warming up "very carefully" due to an injury and appeared in a video wearing knee supports.
The Material Girl singer told fans in London last night: "I just want to say how happy I am to have made it this far, how could I not have done this show in London?"
Source: Sky News