Joe filed for divorce from Sophie on Sept. 5, moving to end their four-year marriage.
On Saturday, Joe, Nick Jonas and Kevin Jonas (Jonas Brothers) took the stage at Dodger Stadium in Los Angeles for The Tour. During act 2 of the show, before performing "Hesitate," Joe took a moment to address the crowd.
In a video, captured by a fan, Joe delivers a quick message to the audience, regarding his "crazy week."
"Look, if you don't hear it from these lips, don't believe it, OK," Joe told the crowd. "Thank you everyone for the love and support. Me and my family love you guys."
Following the brief statement, Joe went on to perform "Hesitate" which he wrote about his relationship with Sophie. During the performance, the 34-year-old became visibly emotional.
Throughout the show, Joe was comforted with hugs from his older and younger brother on stage. In the audience, the trio were supported by their youngest brother, Franklin Jonas, and Nick's wife, Priyanka Chopra Jonas.
The "Love Bug" singer's sentiments from the crowd comes three days after he and Sophie shared a joint statement, confirming their split and shutting down any speculation surrounding the end of their marriage.
"After four wonderful years of marriage we have mutually decided to amicably end our marriage. There are many speculative narratives as to why but, truly this is a united decision and we sincerely hope that everyone can respect our wishes for privacy for us and our children," they said.
Joe officially filed to divorce Sophie on Sept.5.
In documents obtained by ET, the Jonas Brothers singer filed in Miami, Florida, citing that "the marriage between the parties is irretrievably broken." According to the petition, the couple's two children have been living with Jonas in Miami, Florida, and "it is in the best interests of the minor children that the parties have shared parental responsibility." The former couple also have a prenup in place.
Last week, a source told ET that the pair's children (who were listed on the divorce filing as W.J. and D.J.) have been living with their father this summer. An arrangement that was put in place while the Game of Thrones actress worked.
"Sophie was busy on set filming this summer, so Joe and Sophie figured this setup would be best for their kids," the source said. "Sophie and Joe's children have been with Joe while he's been touring because he is surrounded by family and it's nice for the kids to be around their aunts, uncles and cousins."
In addition to his daddy duties, Joe has been focused on the music.
"The Jonas Brothers have been trying to build up a lot of hype surrounding their tour and have been focused on making it a hot place to be," the source said.
On Wednesday, Joe returned to the stage for The Tour at the Footprint Center in Phoenix, Arizona, where he and his brothers opened the show with a big group hug. Fans also noticed that the "Little Bird" singer was performing sans his wedding ring.