The 57-year-old, widely regarded as one of the world’s most influential women, pre-recorded the show on Tuesday.
The talk show queen was seen alone on stage, telling viewers how much they mean to her.
The finale follows a two-day special farewell show at the United Center in Chicago, which Madonna and Beyonce took part in.
Fans who watched Winfrey record the final show said she had tears in her eyes as she bid farewell one last time.
The Oprah Winfrey Show, which is syndicated in 145 countries, redefined the talk show genre and made Winfrey one of the most influential women in the US as well as the wealthiest black woman in the world.
The star, who recently relinquished her position as Forbes magazine’s most powerful celebrity to Lady Gaga, announced in November 2009 she would be leaving.
At the time she told audience members the final season would “knock your socks off.”
On her 25th and final series she was filmed dancing on stage with John Travolta and took an entire audience to film in Australia.
Other season highlights included interviews with President Barack Obama and first lady Michelle Obama, former President George W Bush and Michael Jackson’s family.
The double episodes filmed in front of 13,000 fans went out earlier this week and saw Tom Cruise, Aretha Franklin, Tom Hanks and Stevie Wonder pay tribute to the presenter.
In January, Winfrey launched her own TV network, which will offer round-the-clock lifestyle programmes.
The channel is called OWN, or the Oprah Winfrey Network and is a joint venture with the Discovery channels.
