Cooper is a friend of Depp and had a cameo in his film "Dark Shadows" earlier this year.
The duo played The Doors' "Break On Through (To the Other Side)," The Beatles' "Revolution" and Jimi Hendrix's "Foxy Lady" at Cooper's concert Thursday, the report said.
"Johnny was in great spirits," an audience member told People.com. "He was really happy and at ease, especially on stage with the rest of the band."
Celebrity Couples of 2014 [PHOTOS]