The Ulster Orchestra teamed up with Radio Ulster at the event, which was broadcast live from 20:00 GMT.
Special guests included actor Simon Callow, writer Anita Robinson and singer Peter Corry.
Presented by Wendy Austin and John Toal, the gala event featured performances by musicians, comedians, artists and Radio Ulster presenters.
The acts included Dana Masters, Best Boy Grip and the Sands Family.
In pictures: 40 years of BBC Radio Ulster
The Hole In the Wall Gang comedy group, brought to prominence Radio Ulster's Talkback programme, also performed at the concert.
On television, the documentary, Radio Days, was broadcast from 22:35 GMT on BBC One NI.
Narrated by Stephen Nolan, the programme heard from the station's presenters and listeners about the station's legacy.
It followed loyal listeners and features rare behind the scenes archive footage.
Presenters Walter Love, Wendy Austin, Hugo Duncan and Stephen Nolan talked about their time at the station.
Fergus Keeling, Head of Radio, BBC Northern Ireland, said he hoped Monday's events would be the station's way of "giving our listeners something special back".
"They've joined in our birthday broadcasts, they have helped make this year special and they are the reason we do what we do."
He thanked presenters and guests "for taking the time to help us celebrate in this way".
"Most of all though, I'd like to thank our listeners old and new. This night is for them."
BBC Director General Tony Hall said: "Congratulations to everyone who's contributed to BBC Radio Ulster over these last 40 years - whether in news, arts and drama, music or sports.
"But, above all, I'd like to thank our listeners for their loyalty, their stories and their support."
Broadcasting legends John Bennett and Walter Love joined the Stephen Nolan Show to talk about what has changed at Radio Ulster. â€¬
On technology
On practical jokes
Radio Ulster has celebrated its 40th anniversary with a gala birthday concert in the Ulster Hall on Monday.