After singing their new song Holiday, Nelson appeared to become emotional, and her bandmates Leigh-Anne Pinnock, Jade Thirlwall and Perrie Edwards walked across the stage to comfort her.
They stood with Nelson for a few moments as the radio station cut to another song.
A crew member then walked over to Nelson and appeared to take off her sound equipment.
Fans posted screen recordings of the moment on Twitter, sending their best wishes to Nelson.
“it’s the way the girls immediately went to comfort jesy, bless her, so proud of jesy i hope she knows how loved she is and how amazing she is,” wrote one user.
“We love you so much Jesy @LittleMix, just hope you’re okay and know we’ll always have your back,” wrote another.
A third wrote: “Really hope Jesy is okay We love you! (She started crying after they performed Holiday).”
Other fans also posred messages calling for people to stop sharing the video of Nelson, urging others to respect her privacy.
Nelson returned to the set after the pause.
The girl band also performed a cover of Harry Styles’ Falling during their Live Lounge session.