The Lone Ranger actor joined Alice Cooper on stage at the Orpheum Theatre in Los Angeles on Thursday.
"Johnny was in great spirits," a fellow concertgoer tells PEOPLE. "He was really happy and at ease, especially on stage with the rest of the band."
During their performance, Depp and Cooper played several cover songs including The Doors' "Break On Through (To the Other Side)," The Beatles' "Revolution" and Jimi Hendrix's "Foxy Lady."
Depp – who stepped out solo – was enjoying a "guys night" and wasn't "with any ladies," the source adds.
– Jessica Herndon