"I dedicate this song to the Pope, because I'm a child of God," she told 60,000 fans in the Italian capital. "All of you are also children of God."
Two years ago, the 50-year-old was criticised by the Catholic Church for staging a mock crucifixion at a concert in the city's Olympic Stadium.
But Italian newspapers gave Saturday's concert warm reviews.
"At the Roman leg of her tour, Madonna didn't miss the opportunity for a provocation that will certainly be discussed," Corriere della Sera said on its front page.
Madonna has a long history of using religious imagery in her performances, with her 1989 video for the song Like A Prayer featuring burning crosses, statues crying blood and Madonna seducing a black Jesus.
The singer kicked off her Sticky & Sweet tour last month in Cardiff, and will play Wembley Stadium in London on 11 September.
She crosses the Atlantic in October, playing four dates at New York's Madison Square Garden before ending the tour in Sao Paolo, Brazil, on 18 December.
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(Source: BBC)