Robert Plant and His Band of Joy, One Mayfair, London

The Grade I-listed One Mayfair was built in the early 19th century as St Mark's Church, to service the needs of an aristocratic clientele away from their country seats. Restored following its deconsecration in the Seventies, it makes the perfect venue for a secret gig by one of today's rock aristocracy, Robert Plant CBE, up in London from his Worcestershire home to launch his first album with his new group Band of Joy.

"Welcome to church," says Plant. "It's time to be christened in the New Way." For Plant, the New Way is actually more the Old Way. The band is named after the first group he ever formed back as a Black Country hippie in the mid-Sixties, and the music it plays harks back to an era far older than that, when downtrodden blacks and poor dirt-farmers sought to scratch a living from the empty teats of the American Dream in the early decades of last century. There are more recent songs in tonight's set – Richard Thompson's "House of Cards", Low's "Monkey" – but they sound ancient as time itself played by Plant's all-American band led by the guitarist Buddy Miller.

Miller used to be Emmylou Harris's right-hand man, and his knowledge of the folk, blues and country styles of the Depression era is broad and deep, while his harmony singing is a thing of legend in Nashville. Together with Patty Griffin, Miller adds those weatherbeaten harmonies to Plant's vocal leads, creating a warm, collective sound that wraps the listener up: we may be in church, but it's as if we're huddled round the family hearth.

Plant himself is far less vocally demonstrative than in his shrill Zeppelin heyday, using the softer, more intimate tones that were showcased on the award-winning Raising Sand album. It's almost as if he's gone back to reconnect with his own folk roots that were largely abandoned years ago.

We were treated to a handful of songs from the new album, the mood set by "Monkey", through whose chugging groove shone glinting shafts of lap steel guitar by Darrell Scott, the band's multi-instrumentalist. Scott switched to mandolin for "House of Cards", the song's stern aspect emphasised by Griffin's astringent harmonies, while Miller trailed skirling lead guitar lines in the classic Thompson manner. Percussionist Marco Giovino, his kit strewn with strange bits of bent brass sheeting, dictates the mood on "Cindy, I'll Marry You Someday" and "Satan, Your Kingdom Must Come Down", a pair of songs whose origins are lost in antiquity: his martial drum-roll on the former, and death-rattle percussion on the latter, combine with Scott's desolate banjo to conjure up images of families torn asunder by the Civil War, searching for a new direction.

The most emotional vocal of the night is reserved for Townes Van Zandt's tragic "Harm's Swift Way", before the performance draws to a close with the hypnotic "Angel Dance", on which the mandolin, two guitars and bass set up a miasmic, folksy drone that epitomises in its own way the formulation once celebrated by Little Feat as "country with a funky beat": still rare, but irresistible as ever.