Last night's gig was in front of a crowd of just 300, but the star is expected to hold another show tonight.
Prince teased fans with promise of a further performance at the Electric Ballroom by posting a link to a countdown clock online, with the seconds ticking by until 7pm tonight.
More top news
In a wide-ranging Peston on Sunday interview, he said Parliament security needs reviewing and the PM's counter-terror strategy is flawed.
The terror attack carried out by Khalid Masood at Westminster that left four people dead lasted less than two minutes say police.
Two knives were found at the scene in Islington, North London, and the suspects fled on foot before being arrested.