Grohl joined McCartney at the O2 Arena and the duo went on to perform a rendition of the Beatles' track "I Saw Her Standing There", reported Entertainment Weekly.
The evening also saw McCartney perform "Temporary Secretary" from his 1980 album McCartney II live for the first time.
The pair previously collaborated together in 2012 on "Cut Me Some Slack", alongside Nirvana members Krist Novoselic and Pat Smear.
Alice Cooper revealed last month that both McCartney and Grohl will appear on his new album, which will also feature the likes of Johnny Depp and Brian Johnson.