If you’re wondering where Elton John’s favorite place to play of all the places he’s played since 1969, he left no doubt about it when his final tour, “Farewell Yellow Brick Road,” hit Madison Square Garden Thursday night.

“New York! We are so happy to be back at my favorite venue in the whole wide world,” John said two numbers into the first of four “Farewell Yellow Brick Road” shows he will perform at the Garden this fall (also Oct. 19, Nov. 8 and 9) before returning in March 2019.

And the sold-out audience — which included Bill and Hillary Clinton, fashion designer Donna Karan and MSNBC’s Donny Deutsch — felt all the love in return for the 71-year-old Rocket Man during his 2 1/2-hour set.

There was a decidedly nostalgic vibe to this concert — part of a massive tour that started last month and goes through 2021 — with John reflecting on his five-decade career.

“It’s been the most incredible journey I could have ever imagined in my wildest dreams,” John said after doing his 1984 hit “Sad Songs (Say So Much).” “It’s been the most wondrous, wondrous thing.”

John continued with his farewell words: “The icing on the cake is playing live to another human being … Thank you so much. I will miss you very, very much.”

Those sentiments aside, it was hardly a sad night but more of a celebration of the career of one of music’s true living legends.

John — dressed in black tails with his initials “EJ,” glittery gold trimming and pink lapels — opened the show at the piano pounding those unmistakable chords from his 1974 number-one hit “Bennie and the Jets.”

Other highlights included “Border Song,” from his 1970 self-titled album. Before performing the tune, John reminisced about how he and his lyricist partner Bernie Taupin reacted as young songwriters when they found out that the late, great Aretha Franklin had covered their song.

“I think we went down to the pub and got completely pissed,” he said.

Other Elton classics performed during the crowd-pleasing show included “Tiny Dancer,” “Rocket Man” (also the title of John’s upcoming biopic) and a jammed-out “Levon.”

John dedicated “Don’t Let the Sun Go Down on Me” to the man with whom he has had “probably the longest relationship in my life”: Taupin, who was in the house.

And then he closed the night with an encore of his 1970 hit “Your Song” and the title track of his 1973 opus “Goodbye Yellow Brick Road” — wearing a fabulous blue-and-yellow bathrobe and red, heart-shaped glasses like only Elton could.