The concert, which took place on Sunday night and was attended by 22 000 fans who paid up to $300 per ticket, saw the 53-year old star dress up as a cheerleader and appear among Christian imagery carrying a gun, amongst other displays.
After keeping the audience waiting for almost 90 minutes, the show opened with a scene of bell-ringing.
With a cross in the background, the singer appeared dressed in black and holding a machine gun.
There had previously been calls on social networking sites for the concert to be cancelled out of solidarity with the victims of violence in Syria.
Most of those attending the concert were US and European residents in the Gulf state.
Although the singer's costumes were not provocative, some aspects of the show were described by attendees as "too daring to be suitable for Gulf society's customs and traditions."