"Robbie Williams: Live at the Albert" is a DVD that was released in December 2001 of the show performed on 10 October 2001; concert that Robbie Williams gave at Royal Albert Hall a month before the release of the album Swing When You're Winning. It has since been certified 6× Platinum in the United Kingdom and 2× Platinum in Germany.

After the end of the first song ("Have You Met Miss Jones?") he gave this emotive message:

"Good evening, ladies and gentlemen! (...) Tonight is a special show for me, it's a night when I'm going to pay tribute to some of the coolest men who have ever lived, for example Mr. Sammy Davis Jr., Mr. Dean Martin, Mr. Frank Sinatra..."

The DVD included performances of nearly all of the songs from the album, with performances from Jonathan Wilkes, Jon Lovitz, and Jane Horrocks, as well as a live version of Robbie's 'duet' with Sinatra. Rupert Everett emceed, and Nicole Kidman attended the show, but neither performed their duets featured on the album (They Can't Take That Away From Me and Somethin' Stupid, respectively); these were the only songs from the album which did not feature live. Live at the Albert received a Grammy Award nomination for Best Long Form Video.On 13 March 2007 (five years after the release), the concert was re-released in High Definition (both in Blu-ray and in HD DVD).