The remaining members – John Cleese, Michael Palin, Eric Idle, Terry Gilliam and Terry Jones – delighted thousands of fans when they announced their comeback concerts last year.
Among the fans, many of them in fancy dress as characters from sketches and films, was John Cooper from Leeds, who said it was a dream come true.
The 24-year old said: “I’ve had to watch them online and on DVD so I never expected to get this chance. When you think they changed British comedy forever it’s amazing to come and see them live.”
The show, which featured an extended cast of dancers, a full orchestra and special effects, included numerous set changes and special effects and costs around £4.5m to stage.
Monty Python’s Flying Circus was made for TV between 1969 and 1974 and generations of fans can recite lines and whole sketches.
Sixth Python Graham Chapman died of cancer in 1989, aged 48, and nine years later the five remaining members shared a stage at the Aspen Comedy Festival in the US.
The last ever gig – on July 20 – will be broadcast live in thousands of cinemas around the world.
The show opened with a trademark animation featuring the face of Chapman and Doctor Who’s ship – dubbed the “retardis” – flying through space before the Pythons came on stage.
One of the first classic sketches they performed was the four Yorkshiremen comparing their tough upbringing. The sell-out crowd included celebrity guests such as Stephen Fry.
Idle, who has done most to create the show, had promised fans it would be “really filthy”.
Jones said: “My four-and-a-half-year-old daughter is coming to the last show and I dread to think what she will think of it.”
But Idle said fans wanted to see the classic sketches which made their name, saying: “It would be odd to try and write better things than our best at this age.”
He said it would be appreciated by a modern audience because the material had not dated.