The 61-year-old also banned the use of smart watches during her Madame X show at the London Palladium, and fans were asked to "lock their phone up" in pouches.
Perhaps in a hint to the phone ban, the singer posted on Instagram before the concert writing: "Its Time for a little bit of Self Reflection [sic]".
Madonna is seen taking a selfie with a polaroid picture in the accompanying post.
Reaction from fans attending the London Palladium gig seemed positive, with the phone ban welcomed by some Twitter users.
One fan, Lewis Shaw, wrote on Twitter: "I love the fact that Madonna has a no phones rule at her gig... it means people actually watch and enjoy the show rather than spend the whole night watching through the phone."
Tim Jackson tweeted: "Best thing about Madonna tonight : removal of all phones. Everyone had to lock their phone up and it was so great to just watch the stage and not a million screens filming. More. Of. This. Please."
Images tweeted from outside the venue show signs explaining the performance is a "phone-free show" and offering instructions to ticket holders.
In a YouTube video announcing the launch of her Madame X tour, Madonna described the event as "a series of rare and intimate performances to take place exclusively in theaters [sic]".
The tour is said to give fans "an opportunity to see Madonna in an environment like they never have before."
The Lucky Star singer has a further 13 performances scheduled at the London Palladium before taking the Madame X tour to Paris.