The rapper sang an a capella rendition of Winehouse's 'Valerie', which was originally written and recorded by The Zutons.
After performing a selection of her own tracks including '212', 'Bambi' and '1991', Banks went on to cover Prodigy's 1996 hit 'Firestarter'.
The star is currently working on her debut album Broke With Expensive Taste, which is scheduled to be released in September.
Azealia Banks will play a number of UK music festivals later this year including BBC Radio 1's Hackney Weekend, Lovebox and Reading And Leeds.
> Azealia Banks, Diplo debut new track 'F**k Up The Fun' - listen
Watch Azealia Banks's full set at Coachella 2012 below: