It was the last show in a run of 10 for John Cleese, Michael Palin, Terry Gilliam, Eric Idle and Terry Jones.
Comic stars who appeared in the finale included Mike Myers and Eddie Izzard.
Classic sketches performed included The Lumberjack Song and the Dead Parrot sketch.
The final performance was also broadcast live on UK television on Gold, giving the channel its highest-ever rated original commission.
The 160-minute special, which included backstage footage, was watched by an average 700,000 viewers, peaking at 812,000 in the last five minutes of the show.
The Monty Python Live (Mostly): One Down, Five To Go shows have seen the surviving stars performing live together for the first time in 30 years.
The show ended with a singalong of Always Look On the Bright Side of Life.
Famous sketches in the reunion show included the fish-slapping sketch and special applause has come from audiences for archive footage of Graham Chapman, who died of cancer in 1989.
The sketch in which Myers appeared was about a game show host blackmailing misbehaving celebrities, while Izzard was an Australian philosopher in a rendition of the Bruces' Philosophers Song.
Professor Brian Cox and Stephen Hawking featured elsewhere in the performance.
The shows have had mixed reviews. The Express called the show "comedy history in the making", giving it five stars but the Independent gave the "desperately lazy production" two stars.
Monty Python's Flying Circus was made for TV between 1969 and 1974. The group also made several films including Monty Python and the Holy Grail and Monty Python's Life of Brian.
Legendary comedy troupe Monty Python performed the last of its farewell shows on Sunday night, on stage at London's O2 Arena and also at more than 2,000 cinemas around the world.