The duo brought last night's pre-Brit awards gig at O2 Shepherd's Bush Empire to a close with the new track, entitled 'Under the Westway'.
The song is the first new material from Blur since limited edition vinyl 'Fool's Day', which was released in support of Record Store Day 2010.
Only 1,000 copies of the single were made and copies were sold for as much as £200 on eBay.
Speaking at the concert in aid of the War Child charity, Albarn revealed that 'Under The Westway' had been "written up the road from here a few weeks ago" and contained "a lot of words - for me anyway".
Blur will perform at the 2012 Brit Awards tomorrow (February 21), where they will be presented with the 'Outstanding Contribution To Music' trophy.
It will mark the first time since 2009 that all four members of the band - Albarn, Coxon, Alex James and Dave Rowntree - have played together.
> Blur will definitely release a new album, says Graham Coxon
Watch Blur perform 'Under The Westway' below: