The chart-topping star has also defended her decision to record solo material following her exit from the girl group.
The singer stepped down from Little Mix last year, and has now got fans talking with a cryptic Instagram post.
Sweet Melody was the band's last single released before Jesy made the decision to leave.
The singer has said that being part of the group has been "taking a toll" on her mental health in recent times.
The chart-topping girl band released their sixth album Confetti earlier this month.
Jesy will also be absent when the band hosts and performs at the MTV EMAs on Sunday night.
Jesy Nelson Shares That She Suffered Panic Attack During Little Mix's Radio 1 Live Lounge Appearance
Perrie Edwards stepped in to cover for her bandmate as the group performed on Clara Amfo's show.
The Little Mix singer picked up a gong for her BBC Three documentary Odd One Out.
Jesy Nelson's Bandmates Discuss Long-Term Impact Of Online Abuse, After Singer Reveals Suicide Attempt
Jade Thirlwall has compared Jesy to a "broken doll" at the height of her struggles with social media bullying.
The Little Mix singer has been on the receiving end of hurtful comments throughout her time in the spotlight.