Bob Dylan's site features set lists.

May 26th, 1966
She Belongs To Me
4th Time Around
Visions Of Johanna
It's All Over Now, Baby Blue
Desolation Row
Just Like A Woman
Mr. Tambourine Man
Tell Me, Momma
I Don't Believe You (She Acts Like We Never Have Met)
Baby Let Me Follow You Down
Just Like Tom Thumb's Blues
Leopard-Skin Pill-Box Hat
One Too Many Mornings
Ballad Of A Thin Man
Like A Rolling Stone


May 27th, 1966
http://www.bobdylan.com/#/tour/1966-05-27-royal-albert-hall

She Belongs To Me
4th Time Around
Visions Of Johanna
It's All Over Now, Baby Blue
Desolation Row
Just Like A Woman
Mr. Tambourine Man
Tell Me, Momma
I Don't Believe You (She Acts Like We Never Have Met)
Baby Let Me Follow You Down
Just Like Tom Thumb's Blues
Leopard-Skin Pill-Box Hat
One Too Many Mornings
Ballad Of A Thin Man
Like A Rolling Stone

He also played there in 1965, but that's not the recording.

May 9, 1965
The Times They Are A-Changin'
To Ramona
Gates Of Eden
If You Gotta Go, Go Now
It's Alright, Ma (I'm Only Bleeding)
Love Minus Zero/No Limit
Mr. Tambourine Man
Talkin' World War III Blues
Don't Think Twice, It's All Right
With God On Our Side
She Belongs To Me
It Ain't Me, Babe
The Lonesome Death Of Hattie Carroll
All I Really Want To Do
It's All Over Now, Baby Blue




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