The Beatles legend told fans he "had a surprise" for them before introducing The Rolling Stones guitarist who performed 'Get Back' with him and his band.
The pair - who hugged each other after they finished the track - were cheered on by a star-studded audience which included Kate Moss, Pink Floyd guitarist David Gilmour and 'Life's Too Short' actor Warwick Davis.
Paul's nearly three-hour set included tracks spanning his entire career and among the many highlights were Beatles classics 'Hello, Goodbye', 'Drive My Car', 'Blackbird', 'Hey Jude' and 'Day Tripper' and Wings songs 'Band on the Run', 'Maybe I'm Amazed' and James Bond theme 'Live and Let Die'.
At the start of the concert, the 69-year-old musician admitted it was good to be performing in his home country again after playing several concerts in the US and Europe as part of his 'On The Run Tour'.
Before performing 'Jet', Paul said: "It's so nice to be home, we've been travelling round the world. It's such a nice little scene here, I'm just going to take a second to drink it in myself."
The songwriter also paid tribute to his family who were in the audience, dedicating 'Let Me Roll It' to them.
He said: "I'd like to introduce some special people in the audience tonight, well you're all special but I'm not related to you. This is for people I'm related to. So, hello kids."
Paul also played 'Here Today' in tribute to his late Beatles bandmate John Lennon and his trademark ukulele version of 'Something' in honour of his fellow Fab Four member George Harrison - who died in November 2001 from throat cancer.
Paul's next stop on his 'On The Run Tour' is at the Ericsson Globe arena in Stockholm, Sweden, on December 10 and he ends the series of shows at Liverpool's Echo Arena on December 20.
Sir Paul McCartney's set list:
'All My Loving'
'Drive My Car'
'Sing The Changes'
'The Night Before'
'Let Me Roll It'/'Foxy Lady'
'The Long and Winding Road'
'Come And Get It'
'Nineteen Hundred and Eighty-Five'
'Maybe I'm Amazed'
'I've Just Seen A Face'
'Band On The Run'
'Back in the U.S.S.R.'
'I've Got a Feeling'
'A Day In The Life'/'Give Peace A Chance'
'Let It Be'
'Live and Let Die'
'The Word'/'All You Need Is Love'
'Golden Slumbers'/'Carry That Weight'/'The End'
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