During his second appearance in Russia he played his 3,000th concert, on Sunday, before almost 60.000 fans on St. Petersburg's Palace Square.
The two-and-a-half hour show started approximately 90 late due to tight security measures, a police official said.
Concertgoers had to pass through at least three security checks, and some 2,500 policemen cordonned off the area around the central square hours before the beginning of the performance, paralysing traffic in large parts of Saint Petersburg's center.
It was McCartney's first show in St. Petersburg and only his second one in Russia.
The Beatles were banned in Soviet Union by the authorities as their music was considered corrupting.