The show was the final set-piece element of the North Korean delegation's landmark visit, the diplomatic highlight of the Olympics-driven rapprochement between the two halves of the peninsula.
They have shared kimchi and soju, sat in the same box at the Olympics opening ceremony and cheered a unified women's ice hockey team.
Kim on Saturday invited Moon to a summit in the North, an offer extended by his sister and special envoy Kim Yo Jong, who made history as the first member of the North's ruling dynasty to visit the South since the Korean War.
Pictures showed Yo Jong seated between Moon and the North's ceremonial head of state Kim Yong Nam, who is officially leading the North's delegation, and applauding at Sunday's concert.
The show was given by some 140 members of Pyongyang's Samjiyon Orchestra as part of a cross-border deal in which the isolated nuclear-armed North sent hundreds of athletes, cheerleaders and others to the Pyeongchang Winter Games in the South.
At a dinner beforehand with senior Seoul officials, Yo Jong said she found the two Koreas still had much in common despite decades of separation.
Before flying south, she said, she had expected "things would be very different and unfamiliar", according to a statement from Moon's office.
"But it turned out that there were many things similar and in common," she went on. "I hope that the day we become one will be brought forward."
But the rapprochement pushed by the dovish Moon has angered conservatives, who accuse him of being a North Korea sympathiser and undermining the security alliance with the US.
"Having these red communists in the heart of Seoul is an utter humilation!" one shouted near the venue as dozens of others waved banners condemning both Moon and Kim Jong Un.
"We are against the ugly political Olympics!" read one banner.
Some set a North Korean flag on fire before police intervened, and others chanted "Let's tear Kim Jong Un to death!" as they ripped up posters bearing his portrait.
The North's presence has dominated the headlines in the early days of the Olympics, with all eyes turning to Swiss-educated Kim Yo Jong, believed to be 30, who is among her brother's closest confidantes.
- Political divide -
Sunday's concert -- the orchestra's second and final show -- was expected to feature South Korean pop songs as well as North Korean music, with the diplomatic delegation due to fly home afterwards.
Public interest in the show was huge, with nearly 120,000 people applying for just 1,000 tickets.
Civilian contact is strictly banned between the two Koreas, which have been divided by the heavily fortified Demilitarized Zone since the 1950-53 Korean War ended with an armistice instead of a peace treaty.
Tensions soared last year as the North staged a series of nuclear and missile tests in violation of UN resolutions, while leader Kim and US President Donald Trump traded colourful insults and threats of war.
Moon has long sought engagement with the North to bring it to the negotiating table, and for months has promoted Pyeongchang as a "peace Olympics".
Many older South Koreans on both sides of the political divide harbour a nostalgic longing for some form of reunification -- conservatives through the North's collapse, liberals through a more amicable arrangement.
But younger South Koreans -- many of whom voted for Moon in May -- have spent their adult lives in a culturally vibrant democracy regularly menaced and occasionally attacked by Pyongyang. They have far less interest in unification and fear its social and economic consequences.
A poll last year found almost 50 percent of over-60s believed the two Koreas can be reunified, while just 20.5 percent of those in their 20s agreed.