The event was attended by Navy Chief Admiral R K Dhowan and Chief Minister of Rajasthan Vasundhara Raje.
The orchestra performed from a wide range of repertoire including martial music, western classical, Indian classical and other renditions of contemporary popular music.
The band played various compositions including patriotic music under Commander V C D'Cruz which received standing ovation from the audience at the Birla Auditorium.
Before the performance, Navy Chief Dhowan highlighted the significance of the music, saying it binds people together and cuts across geographies.
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"The defining moment was when the band from Sri Lanka's played 'Sare Jahan Se Acha Hindustan Hamara'," he said.
Dhowan also highlighted the association of Rajasthan with the armed forces, Navy in particular.
Former Navy Chief Admiral Madhvendra Singh, former Commander Ashutosh Sharma and other serving and retired officers of armed forces and their families as well as civil dignitaries attended the programme.