What Was Gwen Stefani and Blake Shelton's First Dance Song? During his May 19 appearance on The Tonight Show, Blake discussed his wedding before sharing what song he and Gwen had chosen for their first dance. "It's 'If You Leave' from the Pretty In Pink soundtrack," the singer said before Jimmy interrupted him in disbelief. "I swear, I have it right here. We talked about this. We both love the song. We're both fans of the '80s, why not?" Image Source: Getty / Charley Gallay