The pop star performed acoustic versions of Cold Water, his 2016 collaboration with Major Lazer and MO, and Tracy Chapman's 1988 hit Fast Car.
Baldwin watched with fans and proudly filmed on her phone.
The couple did some sightseeing after flying in for Baldwin's catwalk show during London Fashion Week, and were also spotted near the London Eye.
Last week, it was rumoured that Bieber and Baldwin had secretly married after they were seen in a New York City courthouse.
The model denied the rumours on Twitter in a now deleted tweet in which she wrote: "I understand where the speculation is coming from, but I'm not married yet!"
But on the red carpet for Monday's Emmy Awards, Alec Baldwin was asked about his niece's engagement and said they are already husband and wife. "They just went off and got married," the actor told Access.
The rumours of the couple's marriage come two months after the pair got engaged in the Bahamas.