In the moving finale, Prince sits alone onstage at the piano, a spotlight casting a purple glow.
"How fitting that "Purple Rain" was the last song he ever performed," audience member Shawna Michaels told PEOPLE.
The legendary musician, who died Thursday at his Paisley Park compound, performed at Atlanta's Fox Theatre on April 14 after postponing two of his Piano & a Microphone shows the week before due to illness.
After the show, Prince's private plane made an emergency landing in Moline, Illinois, so the singer could be rushed to the hospital. His rep said he was battling a prolonged case of the flu.
Before that, the legendary musician apologized to fans for canceling his shows the week prior – not knowing that the performance would be his last.
"Once again, I would like to apologize for the cancellation. I was a little under the weather," he said in exclusive video obtained by PEOPLE.
"But we're here now, and I'm going to take this time to thank each and every one of you for coming out and enjoying this time with us," he continued as the crowd cheered.
The icon sang in front of a crowd that included singers Judith Hill and Janelle Monáe – who at the time had no idea they would be witnessing history.
"He gave an incredible performance with at least four encores," audience member Celeste Headlee told PEOPLE. "There was a tiny bit of gravel in his voice from time to time, but that was the only indication that he'd felt ill the week before."
Headlee recalled the emotion that was felt throughout the room, revealing that at one point during the show Prince began to fight back tears.
"He left everything on the stage, like he always did. After one song, he got up and left the stage because he was overcome by emotion," Headlee said.