The rapper was joined on his journey by Coldplay frontman Chris Martin and Timbaland, who is supporting him on his Magna Carta world tour.
Chris Martin, who is good friends with Jay-Z, later joined him on stage.
Fan Jamie Robb tweeted a photo after meeting the rapper.
“What a riot… Just met Jay-Z on the tube in London,” he said.
He also revealed they had an entourage of around 10 people with them.
Another fan, Fu Choi, tweeted he was “too starstruck” to take a photo and said the rapper was mobbed by fans when he arrived at the arena.
And a third passenger, Elias, tweeted how the rapper surprised him on the escalator.
“Coming off the tube and I see Jay-Z casually walking up the next escalator next to me… EVERYONE GOES NUTS!!”
Last year Jay-Z took the subway to one of his concerts in Brooklyn, New York.
Rihanna has also used the Tube a number of times to get to concerts at the 02.
Jay-Z is playing four nights at the arena before his tour heads to mainland Europe.
Magna Carta Holy Grail is Jay-Z’s 12th studio album and became his first number one album in the UK.
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