The group played the Soccer City stadium in the South African city of Johannesburg.
At the start of the gig, Harry Styles told the crowd: "You have no idea how much we love you right now."
Zayn quit the group saying he wanted to be a "normal 22-year-old" who was able "to relax and have some private time out of the spotlight".
At the gig, Zayn's face was removed from the video montage which introduced the boys before they went on stage.
On Twitter, people at the gig were reporting that Niall and Louis picked up Zayn's solos.
Thousands of fans packed out the gig, many of them sad that One Direction are now a four-piece.
15-year-old Bianca told Newsbeat: "Come back Zayn. We respect your decision but we needed to see your beautiful face. South Africa loves you."
Another fan said: "It's disappointing but things change, things happen. I think sooner or later they will break up but I don't want it to happen. He must rejoin them."
Earlier this month, Malik walked away from the band's world tour after being signed off with stress.
A week later he'd left the group for good saying: "My life with One Direction has been more than I could ever have imagined. But, after five years, I feel like it is now the right time for me to leave the band.
"I'd like to apologise to the fans if I've let anyone down, but I have to do what feels right."
One Direction were quick to say they were staying together and they'll record a fifth album later this year.
Zayn reportedly visited a west London recording studio last week to work on solo material with Naughty Boy; who helped launch the careers of Emeli Sande and Sam Smith.
Follow @BBCNewsbeat on Twitter, BBCNewsbeat on Instagram and Radio1Newsbeat on YouTube
One Direction have performed for the first time since Zayn Malik announced he'd left the band.