The 'Encore' rapper was given a police escort from the airport to perform at the special show in Austin, Texas, for a crowd of just 2,800.
The set was streamed live on the internet and synced with twitter, so fans could comment on the show and choose the set list in real time.
Jay opened his 90 minute performance with 'What More Can I Say?' and also covered hits from across his career including 'Dirt Off Your Shoulder', '99 Problems', 'Big Pimpin' and 'Excuse Me Miss'.
He told the crowd: ''I'm feeling a lot of love in this building. I'm feeling a lot of love in this city today. I'm feeling a lot of love in this city tonight.''
Jay also played new track 'Glory', written for the birth of daughter Blue Ivy in January.
Linkin Park guitarist and former Jay-Z collaborator Mike Shinoda was in the crowd, and tweeting from the show, he wrote: ''Glory. Amazing track.''
He later added: ''Got a shoutout from the stage. Thanks @JayZ.''
The rapper occasionally stumbled over his words, or had to re-start songs, although the crowd were patient with him.
Jay told them: ''I don't f**k around with the words to my songs, y'all. You came to see a live show right?''
At the end of the set he told the audience:''Y'all going to make me crawl away from here tonight,'' before ending his set with 'Encore'.
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