The Beautiful Day hitmakers were performing for the third night of an eight-part series at Madison Square Garden in the Big Apple when they invited funnyman Fallon and his show's house band The Roots on to the stage.
The Tonight Show star poked fun at his recent hand injury, which left him at risk of having a finger amputated, by walking on stage holding a sign that read: "Singer with a broken finger."
The Roots then teamed up with U2 to perform a rendition of their 1988 hit Angel of Harlem.
A host of stars came to watch the show including Sir Paul MCCartney, Alicia Keys, Nile Rodgers and Christy Turlington.
The eight-day residency is part of the The Innocence + Experience Tour which kicked off earlier this year (15) and wraps up in Cologne, Germany in October (15).