Frontman Caleb Followill asked the Hyde Park crowd to raise their glasses to "a friend of ours who's passed away", NME reports.
Before the band played 'McFearless', Followill added: "This is for Ryan."
Dunn was nearly two-and-a-half times the legal blood alcohol limit when he crashed his Porsche, killing himself and passenger Zachary Hartwell.
Kings of Leon's drummer Nathan Followill had previously written on Twitter: "RIP Ryan Dunn. My heart is broken right now. My prayers are with him and his family. I'm in utter shock."
Bassist Jared Followill added: "I'm heartbroken to say that our great friend we made over the last 8 months has passed away. Honestly in shock. Devastated. RIP Ryan Dunn."
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