Bowie, who was a long time resident of the city, died aged 69 in January (16) after a battle with cancer.
During the British band's concert at the Madison Square Garden (MSG), a moving memorial message from surviving members Pete Townshend and Roger Daltrey was displayed across big screens around the venue.
It continued: "He's told the story of how he climbed the fence at London's Roundhouse to sneak backstage and give Pete Townshend a copy of his new 1969 album, David Bowie. He covered I Can't Explain and Anyway, Anyhow, Anywhere on his Pin Ups album.
"Nearly every year at MSG, he sat in the first row right beside the stage. We'll miss our friend, a true icon of music and art, and a brilliant innovator."
The late singer/songwriter covered two of The Who's songs on his 1973 album Pin Ups, and Townshend played on Bowie's 1980 album Scary Monsters.
Since his death, fans and musicians across the world have paid tribute to the Starman singer, who was honoured with a performance by Lady Gaga at America's Grammy Awards and by Lorde at the BRIT Awards. A tribute is also planned for Britain's Glastonbury music festival later this year (16).