The 23-year-old international star was photographed by fans as she travelled to the city's O2 Arena on the Jubilee underground line with her security guards.
After getting off at North Greenwich station, the S&M singer was bustled into a waiting car for a 100 yard drive to the venue.
A source told The Sun, 'Fans couldn't believe they were sharing a carriage with a world famous pop star.
'She was just like any other passenger, except accompanied by a huge entourage. She was happy to pose for snaps and talk about the gig. She was so down to earth.'