Depp attended the late Pogues frontman's funeral last week
"Thank you, Shane. Thank you for the music and the good times"
It was the band's first performance together since 2014
The duo were joined by members of The Pogues for the performance
The actor was a personal friend of the late Pogues singer
To honour MacGowan, Cave changed the lyrics to: "Now this song is over/We'll never find out what it means"
His wife Victoria Mary Clarke also paid homage by presenting the Context of Symbols
Fans also sung songs in MacGowan's honour, including 'Dirty Old Town' and 'Fairytale Of New York'
The funeral procession is set to take place today (December 8)
They led the audience in a rousing rendition of ‘Fairytale of New York’