The South Korean entertainer was invited to discuss his worldwide fame following his breakthrough single 'Gangnam Style', which has now topped the charts in over 20 countries including Australia and the UK.
Tickets to see the rapper - real name Park Jae-sang - were highly sought after, and had to be assigned by ballot, and the level of demand for the event was reportedly not even seen for former presidential candidate John McCain or Michael Jackson.
Chris Eubank was also photographed at the venue, having come to listen to the talk.
Psy revealed that he spent a long time perfecting the famous horse-riding 'Gangnam Style' dance, after popularising several other moves in his homeland.
"I stayed up for 30 nights to find that horse riding dance," he said.
"I tried not just [a] horse. I tried every creature. Elephant, monkey, kangaroo, snake, falling leaves, sun and moon. In Korea, my last five dance moves, they were so famous. This was number six. There was a lot of pressure."
Speaking about his early life, he said: "My only interest when I was young was to be attractive to the girls. I know I'm not that good looking, so I had to try other things. Silly voice, silly dancing. Laughing and joking can be handsome."
Psy spoke of his amazement at how huge 'Gangnam Style' became around the world, including being the most 'liked' video ever on YouTube.
"Suddenly I thought, 'What is going on?' There were English comments, and Asian people were fighting over my nationality. 'Is he Chinese? Is he Korean? Is he Japanese?'" he recalled.
"Then BBC, CNN are making reports [on] me. I received [a] phone call from Justin Bieber's manager, Scooter Braun. I told him, 'If you're Justin Bieber's manager, I'm Justin Bieber'. I made him email me pictures to prove who he was. I had to apologise."
Psy added that the song had become "a dream and a nightmare", saying that while speaking at the union as a result of 'Gangnam Style's success was a dream, trying to beat it was a nightmare.
Barack Obama said yesterday that he knows how to do the 'Gangnam Style' dance, and that he will do it for his wife Michelle in private.
Watch the video to Psy's 'Gangnam Style' below: