The singer didn't perform his usual closing number and instead surprised the audience with a rendition of 'Ob-La-Di, Ob-La-Da'.
According to the Daily Express, the former Beatle ditched a performance of 'Hey Jude' as he plans to use it during the Olympics opening ceremony instead.
A source told the paper: "Paul already knew he was performing at the Olympics opening ceremony when 'Hey Jude' is a definite for the setlist.
"Understandably, he didn't want to be performing the same song twice at two such high-profile events."
McCartney confirmed that he would be a part of the London 2012 Olympics opening ceremony on July 27, earlier this week.
Photo gallery - The Queen's Diamond Jubilee Concert at Buckingham Palace:
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