Clad in jeans, a black T-shirt and glasses, the low-key star played electric guitar alongside Nelson throughout the entire set at the Blue Hills Bank Pavilion by the Boston waterfront.
Nelson didn't announce that a movie star was on his stage – when introducing his band, the 81-year-old kept it on a first-name basis.
"He just said something like, 'And that's Johnny over there playin' the guitar,' " said concertgoer Kristen Panderson, of Boston, who pointed out that Depp "even played a solo in one of the songs."
Earlier that day, Depp, 51, and costar Juno Temple filmed scenes on the South Boston set of Black Mass, in which he plays notorious Boston gangster Whitey Bulger.
Depp also got a visit over the weekend from fiancée Amber Heard, who was spotted hanging out behind the scenes during filming and making herself a sandwich.