Madonna will play to a select crowd at London's Brixton Academy on 28 November.
An official announcement from the singer was read out on BBC Radio 1's Chris Moyles' show on Wednesday.
In it, she described the event as a "party". She will play tracks from her latest album Music, including her forthcoming single Don't Tell Me.
There will be no tickets on sale - the audience will be drawn from invited guests and competition winners only.
The chart-topping support will include former Verve frontman Richard Ashcroft and Scottish band Texas.
Intimate
The statement ends weeks of speculation over the concert date, following the recent birth of Madonna's son Rocco.
The singer said: "This is a chance to get my feet wet on stage again and a way to say thank-you to an intimate group of fans, for all their support over the years.
"It's a party that 3,500 people are invited to - and I am going to sing a few songs at my party."
Liam Howlett - who is signed to Madonna's Maverick record label with his band Prodigy - will DJ at the event.
The Brixton date will follow a similarly intimate gig given by the singer at the Roseland Ballroom in New York at the weekend.
The New York show was attended by celebrity friends and a few hundred fans.
The show came less than three months after the star gave birth to her second child.
Madonna has not toured the United States since 1993. She is expected to go on tour early next year, although no specific dates or cities have been set.