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Local TV channel NY1 quoted official sources as saying that the first couple left Washington, D.C. in the afternoon aboard a smaller plane in the Air Force One fleet.
The couple was reportedly scheduled to see a Broadway performance of August Wilson's play "Joe Turner's Come and Gone" at the Belasco Theatre.
The play is about black America in the early 1900s, with residents of a boardinghouse recalling their migration from the sharecropping farms of the South to the industrialized North.
"I am taking my wife to New York City because I promised her during the campaign that I would take her to a Broadway show after it was all finished," the president said in a statement an aide read to the press.
The brief visit came after the president urged the U.S. Senate to confirm Judge Sonia Sotomayor's nomination to the Supreme Court.
The New York-born Sonia Maria Sotomayor is a federal judge on the U.S. Court of Appeals for the Second Circuit. On May 26, Obama nominated her for appointment to the U.S. Supreme Court to replace retiring Justice David Souter.
In his weekly address, Obama said Saturday that he is certain Sotomayor is the right choice to replace outgoing Souter.
If confirmed, Sotomayor will be the first Hispanic and the third woman to serve on the high court.
The president said he wants the confirmation process to start as soon as possible so Sotomayor can join the Supreme Court by the time its next term begins in October.
The Obamas are off to the Middle East and Europe next week, with stops in Saudi Arabia, Egypt, Germany and France.