In March, two weeks before Vladimir Putin won Russia's presidency for the third time, members of the female band high-kicked and danced in Moscow's main cathedral, singing "Virgin Mary, drive Putin away!"
The three now face years in jail in a case that has outraged human rights groups.
Madonna voiced support for Pussy Riot at a Tuesday night concert in Moscow, saying she'd "pray for them."
She then turned her bare back, which had "Pussy Riot" written on it, to the audience and put on the mask. Pussy Riot band members make it a point to wear the masks, or balaclavas, which have become a symbol for the group.
She went on to sing her 1990s hit "Human Nature."
Madonna told The Associated Press earlier during her stay in Moscow that she "hopes that the judge is lenient" with the band members.