He did do some Talking Heads tunes, and some of his solo material.. Annie Clark did some St Vincent songs and of course they played the songs off Love this Giant. The brass backing band was sensational, and the choreography was a hoot.
I'm not familiar with that album, but here's a link to the set list, which I think is pretty close to what we got. If you prefer to be surprised, don't click it.
Being a Talking Heads and David Byrne tragic I do have the album some good tunes on it.