Concert Venues in Columbia, MO The Blue Note - MO Where: 17 N 9th St, Columbia, Missouri - 65201 Events: 35 Rose Music Hall Where: 1013 Park Avenue, Columbia, Missouri - 65201 Events: 18 Jesse Auditorium Where: University Of Missouri, Columbia, Missouri - 65211 Events: 5 Central Bank Downtown Live Where: 17 North 9th Street, Columbia, Missouri - 65201 Events: 3