The pop star performed seven new songs, as she headlined the event at London's Roundhouse Sunday night.
It is Gaga's first solo show since she had hip surgery in February.
The concert started with her swinging over the audience in a cage and involved many on-stage costume changes, elaborate wigs and dancers in hazard suits wearing pig masks, hanging from the ceiling.
The songs included "Jewels & Drugs" —a rap number featuring T.I.— pop song "Sex Dreams" and ballad "I Wanna Be With You."
Also the title track of Gaga's new album, "ARTPOP," which is released Nov. 11.
iTunes Festival continues throughout September with Elton John, Justin Timberlake and Katy Perry on the line-up.