But he wasn't talking about the house that Jeter built: Instead, the Detroit rapper acknowledged the borough where they were performing - the Bronx, the origin of hip-hop.
"Do not think that I don't know where I'm at right now," the Detroit rapper told the audience at the sold-out stadium on Monday. "I'm also honored to be on this (expletive) stage in the Bronx, the (expletive) birthplace of hip-hop."
His concert with Jay-Z was yet another example of just how far the genre has come in its 30-plus-year history. The genre christened the newly constructed Yankee Stadium: The joint billing by two rap icons was the first musical concert at Yankee Stadium, which made its debut last year.
"I gotta tell y'all it's one of the most wonderful things being here tonight, being from New York City and being in Yankee Stadium," Jay-Z told the roaring crowd.
Both Eminem and Jay-Z, who performed two concerts at Detroit's Comerica Park earlier this month, brought out an all-star cast of friends to mark the occasion. During Eminem's performance, which came first, his guests included his posse D-12, protege 50 Cent, mentor Dr. Dre and new hitmaker B.o.B.
Hometown hero Jay-Z would not be outdone, calling on Kanye West, Coldplay's Chris Martin, sensations Drake and Nicki Minaj, and wife Beyonce to support his set.
Eminem and Jay-Z also performed together during Jay-Z's concert for their joint song "Renegade." While both sets had star power, the vibe of each performance couldn't have been more different. Eminem's performance was about a triumphant comeback, whereas Jay-Z's was more like another coronation.
Eminem - one of the best-selling rappers of all time - owns the year's top-selling album with "Recovery." The album marks his critical comeback after battling a serious addiction to drugs. His concert began by recounting his struggles via a written montage on screen, and later, Eminem spoke of his gratitude for another chance.
"I missed you (expletives), did you miss me?" he said to the screams of the crowd. "It feels so good to be back."
And he demonstrated it with an impassioned if imperfect show that included new hits like "Love the Way You Lie" and the inspirational "Not Afraid" to now-classics like "Without Me" And "Lose Yourself." Though at times it was hard to hear his live rapping over his voice track, he performed with the ferocity of a boxer trying to regain his championship status, even though Eminem already has achieved it.
For Jay-Z, who has been hip-hop's reigning king for some time now, mingling with rock stars, presidents and baseball champions with ease, Monday's performance only seemed to confirm why he's still one of rap and pop's most engaging figures some 15 years after his debut.
He delivered hits like "99 Problems," "On to the Next One" and "Hard Knock Life" with precision, backed by glitzy graphics. He gave West a moment to shine as West rapped his hits "Power" and "Good Life," and the two brought out Minaj for their buzzed-about new song "Monster." He even showed he was more than rap when he brought out Martin, who sang the chorus for Jay-Z's "Heart of the City (Ain't No Love)," then performed the Coldplay hit "Clocks."
The concert lasted well past midnight, and a few thousand in the crowd started to make their way to the exits while Jay-Z was still rapping to beat the after-concert rush. But most stayed behind, sensing what Jay-Z told them. "This is historic: They ain't never gonna be another night like tonight."
Well, maybe one more night - the pair has another show at Yankee Stadium on Tuesday.