The BFFs, who were accompanied by their respective husbands Prince Harry and Mike Hess, were all seen in the audience at the 'Play' residency, which was held at the famous Resorts World Theatre.
Taking to her Instagram Stories, the fashion designer shared a snippet from the concert of the crowd dancing to the pop star's hit song, Fireworks.
Misha, 38, also shared a picture from the previous night where she went to see Adele at The Colosseum at Caesars Palace.
In newly-released pictures, published in MailOnline, Prince Harry and Meghan appeared to be in great spirits as they enjoyed a child-free night with the likes of Cameron Diaz, Benji Madden and Zoe Saldana.
The group of friends were seen embarking on a private jet to watch American singer Katy in action. Also at the concert was Katy's partner, actor Orlando Bloom, and their three-year-old daughter Daisy, who wore headphones for her first public appearance.
Meanwhile, Meghan's friendship with Misha goes back years, meeting through a mutual friend in Miami and quickly becoming close. The two friends initially bonded over charity work.
"We really bonded over that to begin with — and we both love dogs, too. We have been very close ever since," Misha once said. "I love her to death. She is the coolest girl in the world."
It's also believed that the New York-based fashion designer acted as the matchmaker behind Prince Harry and Meghan's relationship. Along with Katy and Orland, the Duke and Duchess of Sussex were among the guests to attend Misha's wedding to second husband Mike in 2019.
Back in September, in honour of her fourth wedding anniversary, Misha shared an unseen wedding picture – and it was clear that the former Suits actress and her husband Harry were given the honour of front-row seats to witness their marriage.
The wedding took place at 6 pm to coincide with the sunset at the lavish 17th-century Villa Aurelia, which boasts breathtaking views across Rome.
"Married the man of my dreams 4 years ago today. Happy anniversary my love @mikeyhess," wrote Misha, and her Energy Entrepreneur husband was among the first to comment: "Love you (and our babies) so much! Best four years of my life."