The singer was performing her Madame X show when the lights and sound were switched off and the curtain closed as she went past her 23:00 GMT deadline.
Madonna shared a video on Instagram, which showed her trying to sing her final song in front of the curtain.
The PalladiumĀ had warned herĀ not to break the strict curfew.
The pop superstar is in the middle of a residency at the venue.