The duo performed a rendition of 'Stand By Me' before playing a few riffs.
Actors Marion Cotillard, Jared Leto and Joan Collins, model Cara Delevingne and singer Robin Thicke were among VIP guests.
Bono donated one of his guitars to the charity auction which saw US businessman Len Blavatnik take home a Damien Hirst sculpture entitled 'Golden Myth' for $6 million (€4m).
A Harley-Davidson motorcycle signed by DiCaprio, movie director Martin Scorsese and actor Robert De Niro went for more than $673,000 (€500,000), while another bidder spent $2.4m (€1.8m) for a walk-on role in DiCaprio's next movie.
It is believed close to $25m (€19m) was raised from the auction.
Oscar-nominated actor DiCaprio established the foundation in 1998 to raise awareness for the environment.
"We are facing a tipping point of environmental crises unprecedented in human history," DiCaprio said at the event.
"Not since the age of the dinosaurs have so many species of plants and animals become extinct in such a short period of time."