The singer suffered a panic attack and burst into tears during the Live Lounge session and had to be comforted by her bandmates.
Fans jumped on social media to express their concern, but Jesy was quick to assure them she was OK.
"So my nerves got the better of me today and I had panic attack right before we were about to sing this for live lounge today and like a pro @perrieedwards jumped in for my part last minute and smashed it," she wrote on her Instagram.
"This is what we originally did in rehearsals."
Nelson has been very open about her mental health issues, winning acclaim and honours for her 2019 documentary "Jesy Nelson: Odd One Out".
In May (20), she admitted the best thing she did for her mental health was film the BBC documentary and talk about her struggles.
"I honestly feel like I was just carrying this huge weight around on my shoulders and for such a long time it was such a huge secret, obviously only the girls knew and people that I worked with," she explained. "And then as soon as I did it (documentary), it literally felt like a massive weight had been lifted off my shoulders."
"I think there's such a stigma that comes with mental health, a lot people are ashamed to talk about how they really feel. A lot of people are scared to let people know that they are struggling and that's how I felt for such a long time. What I actually learned by doing this documentary and letting everyone know was that it's actually OK to talk about how you feel and you feel so much better..."
"For me, the biggest part of my journey was being open and talking about my struggles. That is the one thing that has helped me the most... It's not just something that is building me up and giving me anxiety."