In 2002, Michael Jackson performed a concert at the Apollo Theater in New York City. The concert was a fundraiser for the Democratic National Committee and former President Bill Clinton. The money collected would be used to encourage citizens to vote. It raised almost $3 million. This was Jackson's final on-stage performance.
"Black Or White"
"Heal The World"
Michael Jackson: Live at the Apollo 2002 Wikipedia
So far, there has been only a short clip released from the concert. That is a snippet of the performance "Dangerous". C-Span, who released the footage said that they cannot show the full concert because of copyright issues. There is no amateur footage. However, there has been amateur audio of the full concert leaked, in 2016, another short clip was released from the rehearsals for "Black Or White" featuring Dave Navarro from the Red Hot Chili Peppers and Jackson's friend and choreographer, LaVelle Smith Jr.