The event was the first-ever pop concert held on the East Lawn at Kensington Palace.
The concert, at which Britain's own Coldplay was the headliner, was held to raise money for the prince's charity Sentebale, which assists young people in Africa infected with HIV or AIDS, Us Weekly reported.
There were also musical appearances by "Am I Wrong" duo Nico and Vinz, the Basotho Youth Choir and by Joss Stone, a Sentebale ambassador.
The 31-year-old royal-turned-rocker reportedly sang after announcing the seriousness of the event.
"Sentebale, meaning forget me not in Sesotho, has helped tens of thousands of children in just over a decade," the prince told the crowd at the beginning of the concert, E! News reported.
"We focus on, not just making sure children with HIV get the medical treatment they need, but the emotional support and empowering knowledge that is so vital for their long-term health and prosperity."
And he reminded the crowd that HIV/AIDS is not just an issue in Africa, but worldwide and right there in England.
"In southern Africa, the epidemic remains the biggest killer of adolescents," the prince said. "Here in the U.K., more people have the virus than ever before."
The prince witnessed that reality for himself as a young man when he visited Lesotho. Prince Seeiso of Lesotho, co-founder of Sentebale, said Harry reminded him of the British royal's own charitable mother, Princess Diana.
"To you, my dear friend and brother Harry, I wish to pay a very special tribute. You came to Lesotho as a young man and today you stand tall and proud and are walking among the giants. You are making a difference. That is a testimony to the mother that we so love, that is Princess Diana," he said at the concert. "You, in her footsteps, have gone beyond the call of duty and gone to those dark corners and reached out your hand to the most vulnerable children of Africa and in particular, Lesotho. Harry got up and went to Lesotho and said to the children of Lesotho, 'I am part of you.'"
As the concert wound down, 31-year-old Prince Harry again joined Martin on stage.
During the band's final number, Harry and Prince Seeiso both headed for the stage to sing for the 3,000-strong audience.
Prince Harry reportedly stuck his hands in the air as he sang.