The singer had invited a fan, Jack, up on stage to dance with her. But as she jumped into his arms, he lost his balance and the pair tumbled off the stage.
Video clips of the incident made the rounds on social media, with hundreds of fans voicing concerns about the star's wellbeing.
But, helped up by security guards, Gaga was back on her feet immediately, reassuring the audience:
"Everything's OK," she said in the aftermath. "The only thing that's not OK is we need some stairs for the damn stage so I can get back up."
She went on to console the upset Jack with a hug. "Could you promise me something? Could you forgive yourself right now for what just happened?" she told him, before launching into "Million Reasons" with the fan at her side.
"It's amazing," she said. "We love each other so much we fell off the damn stage. We fell into each other's arms. We're like Jack and Rose from Titanic.
"I suppose we should have some tea after that."
Lady Gaga launched her residence at the Park MGM in December with two shows -- Enigma and Jazz & Piano.
In 2013, the singer broke her hip, forcing her to curtail her "Born This Way" world tour.
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