Those at open air venues joined in the minute's silence
The usually buoyant celebration was toned down in the wake of Tuesday's terror attacks on the US.
Patriotic anthems such as Rule, Britannia! and Elgar's Pomp and Circumstance were abandoned in favour of more reflective pieces.
And concert-goers joined in a minute's silence for the attack victims.
The Last Night was conducted by an American for the first time, with BBC symphony orchestra chief conductor Leonard Slatkin in charge.
Mr Slatkin addressed the audience both before and after the performance thanking them for their support for the US.
He said the orchestra had quickly realised that the attacks meant this year's performance would have to be different.
He said: "One thing became very clear to us, that the very special nature of the Last Night of the Proms for this night would not be the same.
"What was to be a celebration of the new - me - and the traditions - you - would have to be put aside for a moment.
"We use music tonight to express all the emotions we all feel."
More than 6,000 people packed the Royal Albert Hall in London for the performance which was shown in more than 40 countries across the world.
Thousands of people also watched the concert in live links to events around the country, in Gateshead, Cornwall, Liverpool and London's Hyde Park.
The performance was broadcast on BBC Radio 3, BBC Television and BBC Online.
It was also being broadcast for the first time across America on 300 National Public Radio stations with the second half of the concert being shown on BBC America.
Flags
Director of BBC Proms Nicholas Kenyon told the audience: "You will be aware of the programme changes which we felt it necessary to make, and it is right and proper debates should continue about this.
"I just want to ask for one simple thing and that is that you enter into the spirit in which it has been conceived."
The two flags were also displayed from the tiered balconies which circle the domed concert venue.
The Proms' rousing hymns have been part of the Last Night programme since the early 20th century.
Most of the changes affected the second half of the concert when the minute's silence was observed.
Samuel Barber's Adagio for Strings was then performed as the tribute to the dead and injured in the US.
'Music for grief'
Mr Slatkin said the music was played in the US as a "memorial" in the same way that Elgar's Nimrod was used in the UK.
"The music, the intensive emotion of that work has come to mean something very special, not just for Americans but, I think, for everyone. It is our music for grief," he said.
The second half of the concert also featured John Adams' fanfare Tomba Lontana, Spirituals from Michael Tippett's A Child of our Time and the choral finale from Beethoven's Ninth Symphony.
One traditional favourite was retained however - the rousing hymn Jerusalem, was sung as an encore at the end of the programme.
Mr Slatkin said he wanted to keep at least one tradition going by performing the anthem.
"It's not for me to speak on behalf of the American public but all of us are so moved by everything you have done over these last four horrific days.
"The bonds between our countries, indeed all the countries that have pledged their sympathy and support have been extraordinary."