Bennington, 41, took his own life in July (17), after battling depression.
Mike Shinoda, who hosted the event, told the crowd: "Doing this show is one of the hardest things I think that we've ever chose to do. Love you guys", bandmate Mike Shinoda wrote in a Twitter post last month.
During the show, Shinoda premiered the tribute song, "Looking For An Answer", which saw him performing solo.
"Saving lives is exactly what we plan to do in Chester's memory", Bennington said in a speech introducing her partnership with "Give an Hour" and Change Direction, a nonprofit dedicated to changing the conversation and culture around mental health. It is time we recognize that mental health is as important as our physical health.