Kylie Minogue, George Michael, Kate Moss, Naomi Campbell and U2 star Adam Clayton were among celebrities seen watching the show - which finished just moments before the 10.30pm curfew imposed by Westminster Council.
Her sexy strip took place while she sang Like A Virgin in front of the 50,000-strong crowd.
Madonna, 53, peeled off her clothing to reveal a sheer bra and black lacy thong, which she wore under fishnet tights.
Jumping through hoops: Some fans resisted the urge to slate Madonna though and tweeted that she was excellent
Poor sound quality: Madonna's show started in daylight and many complained they couldn't hear properlyHer toyboy boyfriend Brahim Zaibat, who was on stage as a backing dancer, then helped to fasten a corset around her.
She told the audience: 'I like to live dangerously.'
Madonna also introduced her 11-year-old son Rocco, who joined her as a dancer during the gig.
As well as performing hits like Papa Don't Preach, Hung Up and Vogue, she also showcased tracks from her latest album MDNA.
High expectations: Fans arrive for concert yesterday in Hyde Park, many dressed like the starShe made a dig at pop rival Lady Gaga by incorporating her track Born This Way during a rendition of Express Yourself.
Not all fans were disappointed. TV and radio presenter Toby Anstis tweeted : 'I can definitely say, that was THE best live show I have ever seen! Mesmerising from start to finish! Amaaaazin!'
Madonna's press spokeswoman Barbara Charone, was unavailable for comment about the mass walk-out.
A colleague said : 'She is out doing Madonna-related stuff.'