Any Given Thursday is a live CD/DVD by John Mayer, recorded in Birmingham, Alabama at the Oak Mountain Amphitheater on September 12, 2002, during the Room for Squares tour.

It features mostly songs from Room for Squares, as well as several covers, including "Lenny" by Stevie Ray Vaughan and "Message in a Bottle" by The Police.

The concert features songs previously not heard, such as "Something's Missing", which appeared on Heavier Things, his following album.

The CD/DVD received conservative consistent praise with critics torn between his pop-idol image, and (at the time) emerging guitar prowess.

"[6] David Browne, with Entertainment Weekly, gave the album a B− saying, "one wishes Mayer were a more convincing rebel, but at least he doth protest a little.