The shoes, thought to have been made at the time of the 1939 film, were given to her by her management before she took to the stage at the Staples Center, in Los Angeles.
Gaga, real name Stefani Germanotta, told fans how a bully beat her to the lead role of Dorothy in a school production.
She said: 'I wanted to be Dorothy so bad. I was in 8th grade and she was a senior. I definitely deserved to get it, but I didn't get it. I was one of the people in the chorus, the worst role.
'On behalf of myself and all of those bullied around the world, now these ruby slippers are mine.'
She added: 'When you don't feel like Dorothy today, maybe you feel like someone on the chorus or the Scarecrow - just know you will have opportunities in your real life to change things and maybe someone will hand you a pair of ruby slippers.'