The singer posted a photo on Twitter of Saturday's event, where he performed a song called "Vote 'Em Out."
Earlier in September, Nelson received backlash from fans after they learned he would be headlining O'Rourke's rally.
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After dozens of fans weighed in on his Facebook page, the music legend responded to their uproar.
"Everybody has an opinion. Everybody has a right to an opinion. I think I have one too," Nelson said.
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According to O'Rourke, Saturday's rally had a great turnout.