Tickets were free and distributed to fans through a lottery. The episodes will air May 23 and 24, before Winfrey's final show on May 25.
Executive producer Sheri Salata says Winfrey is "in great spirits, energized and taking in every last bit of these final days."
Winfrey announced in November 2009 that she would end "The Oprah Winfrey Show" this year after 25 years.