Grizzly Bear, Serpentine Sessions, Hyde Park, London

It was with their championed 2009 album Veckatimest that Brooklyn quartet Grizzly Bear jumped from cult status to being much, much bigger. Their Glastonbury show on the festival's Other Stage on Sunday had the crowds and critics talking, while at tonight's Serpentine Sessions they attract such adoration that their fans throw roses onto the stage exclaiming, "We love you!"

"You're always wonderful to us," says band founder Ed Droste with full sincerity, before announcing this will be their last UK show for a while.

They open with their rousing, folksy "Southern Point". That they recreate the sound of their psychedelic folk-rock with seeming ease is no simple task – their ever-evolving time signatures, key changes, sumptuous four-part harmonies and sheer musicianship are complex to execute to such tight perfection – especially when the syncopated rhythms of Christopher Bear's drumming and the keyboards on "Two Weeks" require such precision.

The band members are multi-instrumentalists: Chris Taylor provides haunting, high-pitched vocals while rocking as he plucks the bass and moving to his knees to play clarinet ("Colorado"), or flourishes of flute on the sprawling "Lullabye", while Droste alternates between guitar and stabbing at the keyboard. Droste and Daniel Rossen, chief guitarist and pianist, share vocal duties.

With the fans on their side since Veckatimest, tonight they give their 2006 album, Yellow House, more of an airing, playing the rarely performed "Little Brother". But it's the singles "Two Weeks" and "While You Wait for the Others" which are the most rapturously received. The latter unfurls slowly with added instrumentation and they build up layers of heart-swelling vocal harmonies. When all four burst into the chorus, the effect is euphoric. Their four-part harmonies, as on "Fine for Now", evoke Fleet Foxes. It's when they are all singing that they are most engaging.