For the star-studded number, Prince played "A Love Bizarre." While director Spike Lee played the tambourine, Alicia Keys, Professor Cornel West, Tavis Smiley and others danced onstage with Prince and Sheila E.
Prince also referenced his recent surprise appearance on ABC's "The View," when a shocked Sheppard was left swooning. Prince pretended to bolt from the stage when Sheppard's name was mentioned.
Prince then said to Sheppard, "Come on, Sherri. Dance with me, please. I wanna see what you really do."
Prince has two more dates left at Madison Square Garden - one later in December and another in January.
The Associated Press contributed to this report