The couple, who have been married for 10 years, performed a surprise duet of Bush's song Glycerine at the 23rd annual KROQ Almost Acoustic Christmas at the Gibson Amphitheatre in Los Angeles, where they met almost 17 years ago, reported E! Online.
"She actually asked me about this and I was so surprised, I didn't say anything for two days," the former Bush frontman told Rolling Stone magazine.
"She said, 'Maybe we should do a song together.' And I couldn't answer her. I thought it would be so powerful, the two of us on stage like that, that's what we went for."
The British singer added: "This is the culmination of two years of work, and then to finish it off playing here, in this venue, this full circle thing, it was an incredible night."
It was a rare show of romance for Gwen and Gavin, who have two sons together and prefer to keep their family life low-profile.