The Queen in Sam Sharpe Square, Montego Bay
As they left the Caribbean island, they heard a reggae consolation song referring to the death of Princess Margaret.
The Bob Marley words "Don't worry about a thing" from Everything's Gonna Be Alright were sung as a message to the Queen about her younger sister.
The official visits to the three realms of Jamaica, New Zealand and Australia are the first royal overseas trips in the Golden Jubilee year.
Postponed
At the end of her three-day visit to Jamaica, the Queen thanked the people for their "wonderful welcome".
The Queen said: "It has been a memorably enjoyable and happy visit, and we both leave with our deep affection for this island and its people renewed and reinvigorated."
After the special farewell song, a Jamaican Government official said: "It's our way of trying to say, don't worry about Princess Margaret, everything's gonna be alright."
The royal couple then boarded a chartered British Airways 777 jet bound for New Zealand and then Australia.
The 75-year-old monarch, accompanied by Prince Philip, is due to arrive back in the UK on 4 March.
The Queen and Prince Philip pledged to go ahead with the planned schedule despite Princess Margaret's death.
Part of the trip had already been postponed once after the 11 September terrorist attacks in the United States.
The visit to Australia includes the Queen's attendance at the Commonwealth Heads of Government Meeting, which was re-scheduled from October after the terror attack on the US.