Kid Rock introduced the comedian on stage in Detroit, Michigan, for the free show, which aimed to boost morale in an area dogged by high unemployment rates.
"What a great night for the state of Michigan and the people of Detroit," Kid Rock told the crowd at The Palace Of Auburn Hills.
The star, who is from Detroit, introduced Jay, who bounded on stage and embraced the rocker.
The first row then rushed toward the stage and Jay went down the line slapping and shaking hands, just as he does every night before his Tonight Show monologue begins.
Jay failed on several occasions to get his set started, because the roar of the crowd and a chant of "Thank you, Jay!" drowned out his words.
The NBC late-night star, an avid car collector whose love of autos has brought him to Detroit from time to time, said he wanted to do some good for an area struggling with a high jobless rate and imploding auto industry.
Michigan's unemployment rate was at 12 per cent in February, the highest in the nation.
"These are the hardest-working people in the world, and I think they're getting screwed," Jay told reporters before the show. "And it doesn't seem fair."
He initially only planned a single show, but heavy demand prompted organisers to add a Wednesday night performance of what was being billed as Jay's Comedy Stimulus Plan. In all, there will be 30,000 tickets distributed.
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