The former "Tonight Show" host performed in front of a sold-out crowd Sunday night at the Comedy and Magic Club in Hermosa Beach, according to a spokesperson for the club.
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Leno, an avid car collector, had been working underneath a vehicle on Nov. 12, when he was burned.
"We've got two shows tonight -- regular and extra-crispy," Leno joked to reporters on his way into the club. "I never thought of myself as a roast comic."
The 72-year-old underwent two surgical procedures to treat his injuries, his physician, Dr. Peter Grossman, said. Leno suffered burns to his face and hands.
His doctor noted that Leno was walking around and cracking jokes during his stay at the Grossman Burn Center.
Jay Leno seen in 1st photo since suffering severe burn injuries
The hospital announced in a November 21 news statement that Leno had been released.
"Jay will receive follow-up care at the Grossman Outpatient Burn Clinic for burns to his face, chest and hands he received during a fire at his home garage," the statement said.
Grossman said he was pleased with Leno's recovery and "optimistic that he will make a full recovery."
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"Jay would like to let everyone know how thankful he is for the care he received, and is very appreciative of all of the well wishes," the hospital added. "He is looking forward to spending Thanksgiving with his family and friends and wishes everyone a wonderful holiday."
Leno is slated to perform three additional shows at the Comedy and Magic Club in December.
The CNN Wire contributed to this report.