"Show your love and appreciation for the gay community," she called as a sea of hands shot up to display pink bracelets that her team had distributed to the 10,000-strong crowd.
The pop legend's show in strongman leader Vladimir Putin's native Saint Petersburg came two days after she donned a balaclava on a Moscow stage in solidarity with the jailed all-girl protest punk band Pussy Riot.
Madonna had stripped to a black bra in Moscow on Tuesday to reveal the words "Pussy Riot" on her back.
Prosecutors have sought three years in a corrective labour facility for the band on charges of hooliganism for their church performance of an anti-Putin "punk prayer". The verdict will be handed down August 17.
On Thursday, Madonna's lightning-rod antics and outspoken reputation again created a combustible mix, in a city that this year passed controversial anti-gay legislation that some Putin allies hope to apply nationwide.
The US embassy in Moscow warned this week that its Saint Petersburg consulate had "received information regarding a threat of physical violence against spectators and performers".
The governor deployed 300 police to the Saint Petersburg Sport and Concert Complex as priests vowed to burn pictures of the US pop star and sprinkle holy water on sites she visited on her last stop in the city in 2009.
The war of words between Madonna and her hosts was in full swing hours before the concert's scheduled, and inevitably delayed, late evening start.
Russia's deputy prime minister and former NATO envoy Dmitry Rogozin used an epithet he declined to spell out in an angry tweet about Madonna's moral values.
"Either take off your cross, or put on your knickers," Rogozin wrote.
A local lawmaker meanwhile said Madonna's show would be closely monitored for signs of violating the new ban on propaganda of deviant behaviour.
"We should not allow the imposition here in Russia of Western values that Madonna promotes," said a spokeswoman for lawmaker Vitaly Milonov.
Saint Petersburg this year passed a loosely-worded law that fines those "promoting homosexuality" to minors and apparently equates it with paedophilia.
Russia legalised homosexuality in 1993 after the fall of the Soviet Union but only ceased to classify it as a mental disorder in 1999.
Homophobic attitudes run high across the country and are promoted by some of Russia's most popular and powerful politicians today.
The Russian Orthodox Church for its part has seen its ranks swell during Putin's 12 years in power as the state seeks a reliable national base of support.
"She calls herself 'Madonna' and desecrates the cross," said religious activist Kirill Frolov of the Corporation of Orthodox Action.
"We will not tolerate this," he said.
Saint Petersburg banned what would have been Russia's first authorised gay pride rally last month after a deluge of complaints from residents.
Gay activists earlier called on the superstar to cancel her Russia concerts as a gesture of support for the gay community. Several held solitary pickets Thursday to show their displeasure at Madonna's decision to show up.
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