Williams and fiancé Alexi Ohanian attended the show at AmericanAirlines Arena. They were backstage with the pop star, taking Snapchat videos and eating Bruno Mars cookies.
They also joked around with Marc Anthony, who was also backstage.
"So we're at the Bruno ... Mars concert," Williams said on Snapchat.
"C'mon, get me good," Mars said when Williams panned the camera over.
When the show started, it was time for the tennis sensation to bust out the pipes. She sang along to many of Mars' hits.
"I'm way too excited," Williams wrote on Snapchat. "Prob need to chill."
She posted a photo to her Instagram account showing her wrist and Ohanian's arm.
She sang her heart out with Alexis Ohanian pic.twitter.com/WPgjLsDfwo— Alysha Tsuji (@AlyshaTsuji) October 19, 2017
"@brunomars #XXIV tour Date night," she wrote on the caption.
Williams also made note of missing her newborn daughter, Alexis Olympia.
"At @brunomars concert thinking about Alexis Olympia arghhhh. I love her so much," she wrote.
When Williams arrived home, she was quick to jump on Snapchat again to post a short video with her young daughter.
"Bruno Mars was amazing but -- priceless," Williams said, while holding her baby.
Williams and Reddit co-founder Ohanian are now planning their late fall wedding in New Orleans, according to The Daily Mail.