O'Day previously supported Diddy's ex-girlfriend Cassie when she sued the music mogul.
Diddy's homes in Los Angeles and Miami were raided by Homeland Security on Monday.
Helicopter footage showed Homeland Security raid at the rapper's Beverly Hills home on Monday.
The announcement comes on the heels of a fourth woman accusing the embattled music mogul of sexual assault.
The lawsuit is the fourth filed against the rap mogul in less than a month.
The allegations come days after Diddy and Cassie Ventura reached a settlement in her lawsuit accusing him of rape and abuse.
The 36-year-old musician took the stage at Los Angeles' Hollywood Palladium on Saturday night.
The settlement comes just one day after the R&B singer sued the music mogul in Manhattan Federal Court.
Aubrey O’Day and Azealia Banks speak out against Sean ‘Diddy’ Combs in the wake of Cassie accusing him of rape and sexual assault.
Aubrey O'Day and D. Woods posted messages in support of Cassie, who filed a lawsuit on Thursday accusing Diddy of rape and abuse.
The mogul is not under investigation by the NYPD in connection to a confidential criminal case, despite a previous report.
The R&B singer filed the lawsuit against the music mogul Thursday in Manhattan Federal Court.
Sean Combs has been accused of rape in lawsuit filed by his ex, Cassie Ventura. The media mogul 'vehemently' denies the allegations.
The R&B singer filed the lawsuit Thursday in Federal District Court in Manhattan.
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