The black and red calf leather jacket, with the label Marc Laurent Paris, was estimated to be worth between $200,000 to $400,000.
Darren Julien, president and CEO of Julien's Auctions in Beverly Hills, says the jacket was purchased by Milton Verret, a commodities trader from Austin, Texas.
Verret says the jacket will be sent on tour and used as a fundraising tool for children's charities.
A portion of the proceeds from the sale of the jacket will benefit The Shambala Preserve, Jackson's two Bengal tigers, Thriller and Sabu, have been living since 2006.
Jackson's red jacket from the "Thriller" video was among hundreds of items described as the most historic collection of music memorabilia being offered to the public.
The auction was held at the Julien's Auctions Gallery on Saturday and Sunday in Beverly Hills.
Other items that belonged to Michael Jackson were also for sale, like one of his wigs and the actual glove he wore to the American Music Awards in 1984.
The Associated Press contributed to this story.