Sir Paul landed in Tel Aviv on Wednesday and visited the Bethlehem in the day.
'See for myself'
"I said that I would like to try and come into Palestine when I had just a few days here," he said. "And just see for myself what the situation was, and I learned a little bit about the situation."
Outside the Church of the Nativity, where Christians believe Jesus Christ was born, he told tourists and reporters: "All we need is peace in the region and a two-state solution."
Palestinian activists had asked Sir Paul to cancel the one-off gig because of Israel's occupation of the West Bank and Gaza Strip.
"I was approached by different groups and political bodies who asked me not to come," McCartney told Israel's Yediot Aharonot newspaper.
Sir Paul flashed peace signs to fans in Tel Aviv
"I do what I think, and I have many friends who support Israel."
He told another reporter on Wednesday: "I think that to just not go to a place because there are issues, I don't think it makes any sense.
"I think it's better to go there, and try to understand the politics of the region. So I get a better understanding."
Enthusiastic fans turned out to greet Sir Paul outside his hotel in Tel Aviv - and the star stopped to sign autographs and flash peace signs at the crowd.
Inside, he met the press, throwing a variety of rock star poses and joking with reporters: "It is me."
We've been rehearsing some songs we've not done for a while
Sir Paul McCartney
Israel's radio stations have flooded the airwaves with classic Beatles tracks ahead of Thursday's show, which is dubbed Friendship First.
The Fab Four had been due to play in Israel at the height of their fame in 1965, but the country's government pulled the show .
In January, Israel apologised for the cancellation of the 1965 concert in letters to the two surviving members of the Beatles - Sir Paul and Ringo Starr - and the families of deceased members John Lennon and George Harrison.
Sir Paul has promised a few surprises, saying: "We've been rehearsing some songs we've not done for a while, but that's all I'll tell you."
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