The 17-year-old star took to the stage at the event in Indio, California on Saturday and was met with huge cheers.
She told the crowd: "This is actually the first big thing I ever booked. I said, 'Holy f**k, we booked Coachella'. I was screaming on the phone. We are so lucky to be here. This is mental."
According to Entertainment Weekly, the Royals songster thanked the audience for making the dreams of a "kid from New Zealand" come true.
She also took to Twitter today to thank fans and wrote: "Coachella week 1 all done, and we go out with blister feet and dusty hair and most importantly happy ears! goodnight freaks; we love you so (sic)."
After Lorde's performance, Pharrell Williams appeared with several guest stars, including Snoop Lion, Nelly, Busta Rhymes, Puff Daddy and Gwen Stefani.
Solange Knowles performed Kate Bush's hit 'Cloudbusting', before being joined on stage by her sister Beyonce.
Coachella continues next weekend and artists on the bill include Arcade Fire, Beck and Calvin Harris.
