Dedicating the last song of the evening to Winehouse, he performed a new track which he originally wrote for his late mother Kate McGarrigle.
Wainwright said: "Amy, this is for you," as he introduced the track, before singing a capella.
He also described Winehouse as "fantastic and marvellous". The singer died in London yesterday aged 27.
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Watch Rufus Wainwright's musical tribute to Amy Winehouse below: