Madonna paused in the two-hour concert to say that Gypsies, also known as Roma, were discriminated against in eastern Europe. She said that made her "sad" and nobody should be discriminated against.
Thousands in the crowd of 60,000 at the Bucharest show booed her. She did not react.
Roma musicians and a Roma dancer were featured in her show, held just yards from the giant palace of ex-communist dictator Nicolae Ceausescu. Their performances were applauded by the crowd.
There are officially some 500,000 Roma in Romania, but the real number could be around 2 million. They face prejudice and discrimination in Romania and other east European nations.
The Eastern European leg of Madonna's tour has been fraught with controversy, including a flap in Poland over holding the concert on a feast day of the Virgin Mary.