Many people's perception of the Proms is based on the Last Night, although this is very different from the other concerts. It usually takes place on the second Saturday in September, and is broadcast in the UK on BBC Radio 3, and on television on BBC Two (first half) and BBC One (second half). The concert is traditionally in a lighter, 'winding-down' vein, with popular classics followed by a second half of British patriotic pieces. This sequence traditionally includes Edward Elgar's "Pomp & Circumstance March No. 1" (to part of which "Land of Hope and Glory" is sung) and Henry Wood's "Fantasia on British Sea Songs", followed by Thomas Arne's "Rule, Britannia!".

The concert concludes with Hubert Parry's "Jerusalem", and the British national anthem, in recent years in an arrangement by Benjamin Britten. The repeat of the Elgar march at the Last Night can be traced to the spontaneous audience demand for a double encore after its premiere at a 1901 Proms concert. The closing sequence of the second half became fully established in 1954 during Sargent's tenure as chief conductor. The Prommers have made a tradition of singing "Auld Lang Syne" after the end of the concert, but this was not included in the programme until 2015. However, when James Loughran, a Scot, conducted the Last Night concert in the late 1970s and early 1980s he did include the piece within the programme.

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