The event at the capital's World Cup Stadium suggested people in the South Korean capitol are not allowing the saber-rattling rhetoric of North Korea to interfere with their daily life, CNN reported.
Psy stepped into the middle of the tensions with the release of "Gentleman," a rowdy dance number that follows up his massive Internet hit "Gangnam Style."
CNN said organizers expected more than 50,000 to attend the show Saturday.
No additional security was planned and fans brushed off the seeming threat from North Korea.
"The thought of danger never even occurred to me," Seoul resident Sungoh Bang, who planned to attend the concert with a group of friends, told CNN.