It's hard to say what train you would take back to New Jersey because it depends on what line you're taking. I took the Northeast Corridor line during the week after the Paul Simon concert and I was able to get the 11:06. Best bet is to Google the train schedule for New Jersey Transit. Or download their app which will also give you the train schedule.
My show ran to 11:45pm Saturday.. I would google his show to see if he starts on time. Show was suppose to start at 8 however real time was 9:30.
Usually a little before 11
Personally, I would allow till 11pm to leave MSG. The ticket time is 8pm, but usually begins more like 8:30, then a minimum of 2 hrs 10 minutes, then the exit takes quite a while, walking down many steps...
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