The 36-year-old recording artist performed before a full house at the Nassau Veterans Memorial Coliseum in New York, with 33-year-old Kim cheering from the side. The queen of reality TV was joined by her younger sister Kourtney and their "momager" Kris Jenner.
"Yeezus Tour last show!!!" wrote Kim alongside an Instagram photo of her beau on stage.
While Kim and Kanye have been touring stateside with their eight-month-old daughter North, the couple looked happy to be spending quality time together on their date night.
The loved-up duo, who announced their engagement on Kim's birthday last October, were pictured stepping out of their apartment in New York's trendy Soho district.
Stylish Kim wore curve flaunting black leggings and a matching black tank top, and wrapped up in a blush pink straight cut coat. The mother-of-one kept her espresso brown hair in loose waves, and left all attention to the fox fur scarf draped around her shoulders.
Kanye, meanwhile, matched his fiancée in an all-black ensemble. Earlier in the day the rapper wore a charcoal and white fur coat, but perhaps in a bid not to clash with Kim's statement scarf, Kanye opted for a velvet coat for the couple's evening outing.
Kim and Kanye's wedding, which is expected to take place in May, will no doubt be just as lavish and extravagant as the rapper's proposal.
Fans of the couple and the Kardashian family were finally given the chance to see the moment Kanye asked Kim to be his wife, when the proposal aired on Keeping Up With The Kardashians earlier this month.
The brunette beauty is filmed throwing her hands to her face in shock as Kanye goes down on one knee to propose.
The musician asks his girlfriend, "I just want to know," to which she replies, "You want to know what?"
Kanye responds, "If you'll marry me." The reality TV star whispers, "Of course."
Kanye then presents the mother of his child with a red box containing a stunning 15-carat diamond ring crafted by celebrity jeweller Lorainne Schwartz.
The couple are said to have chosen chic Paris as their wedding destination, a city that is close to their hearts. Kim and Kanye paid a visit in January to reportedly scout for locations.