The industrial rock group performed in the early morning hours Sunday at the Tennessee festival, shortly after Bruce Springsteen and the E Street Band wrapped up.
"It just dawned on me that this is our last show ever in the United States," Reznor said during his band's set. "Don't be sad. I'll keep going. But I think I'm going to lose my ... mind if I keep doing this, and I have to stop."
Nine Inch Nails just completed a U.S. tour with Jane's Addiction. Their summer tour continues in Europe and Asia. The tour, dubbed "Wave Goodbye," was conceived as a farewell tour to mark the 20th anniversary of their first album, "Pretty Hate Machine."