The Stranger Things star, 18, also shared a picture of her in a passionate kiss with boyfriend Jake Bongiovi at the show.
“Alexa play Love of My Life by Harry Styles,” she wrote in the post shared with her 52 million followers on Instagram. The actress has been in a relationship with Jon Bon Jovi’s son for about a year.
The gig was the second of two by Styles, 28, as part of his rescheduled tour.
Harry Styles best looks
Taking to Twitter after the first concert on Saturday, he wrote: “Wembley, last night was one of my favourite shows we’ve ever played. I don’t know where to begin thanking you.I love you all.”