Tickets for the show sold out in under a minute earlier this year, as the boyband announced plans to play the iconic venue.
They began the set with 'Up All Night', before performing singles 'Gotta Be You', 'Little Things', 'Live While We're Young' and 'One Thing'.
The five-piece concluded the show with the monster global hit 'What Makes You Beautiful'.
One Direction will embark on a larger world tour in 2013, in support of their recent album Take Me Home which topped the charts in over 35 countries.
The setlist for One Direction's Madison Square Garden show was as follows:
'Up All Night'
'Na Na Na'
'Gotta Be You'
'More Than This'
'Live While We're Young'
'Tell Me A Lie'
'Everything About You'
'Save You Tonight'
'What Makes You Beautiful'