The former American Idol star became the band's frontman for a two-hour show at Independence Square in Kiev, Ukraine.
Lambert, who has stated that no-one will ever replace Freddie Mercury, was originally due to perform with the band at this year's Sonisphere Festival, but the event was cancelled.
Speaking to Digital Spy ahead of the concerts, Lambert said: "I still can't believe we're doing this. It'll sink in eventually! All we've done is send a couple of emails back and forth, but we'll get down to serious rehearsals soon.
"They're such sweet guys - almost paternal - and they're doing this for the right reasons. They love what they do and they want to keep giving to the fans."
Asked if he would record with Queen, he added: "Definitely. I wouldn't be opposed to that if the opportunity came along. I think it'd be fun."
Lambert's new single 'Never Close Our Eyes' is released in the UK on July 8, followed by the album Trespassing on July 9.
Watch the video for 'Never Close Our Eyes' below: