The Purple Rain hitmaker sang his hits at The Forum venue and midway through his set he invited Blige, his warm-up act, to team up with him for a rendition of Nothing Compares 2 U, a track he wrote in the 1980s and which was later made famous by Sinead O'Connor.
And the duet went down well with the crowd, which included actor Russell Crowe.
In a series of posts on his Twitter.com page on Sunday, he writes, "Went to see Prince at The Forum in LA last night... I did go crazy, I did get down... duet with MaryJBlige on Nothing compares 2 U ...sublime."
Taking to her own page on the microblogging site, Blige was full of praise for the superstar, gushing, "The prince concert was INSANE!!! INCREDIBLE!!! AMAZING!!! I've never seen any performance like it!!! The Prince Concert is a must see!!! Please go see!!!