The pregnant singer, 31, wore a figure-hugging belted coat with thick beige scarf and fingerless gloves to keep out the cold at the al fresco gig.
'Since U Been Gone' singer Kelly, who announced she was pregnant last week, performed live at the lighting of the famous Rockefeller Centre Christmas Tree.
The star, who won the first season of American Idol, wore scarlet lipstick to match her cute festive peacoat - which was a perfect choice for the Christmassy event.
The Rockefeller Centre Christmas Tree, at the Rockefeller Centre Plaza in New York, is a world-wide symbol of the holidays in New York City.
At the prestigious event, Kelly sang songs from her new Christmas album Wrapped In Red - which is exactly what her baby was!
Kelly announced her pregnancy on Twitter with the message: "I'm pregnant!!! Brandon and I are so excited! Best early Christmas present ever :)."
In an interview with US chat show, TODAY, Kelly spoke about expecting her first child with husband Brandon Blackstock. She said: "I don't know why they call it morning sickness - that's my big joke right now.
"It's like all day and all night. I'm just looking forward to the second trimester. They say it's better."
Kelly married Brandon on 20 October in a romantic ceremony held at Blackberry Farm in Walland, Tennessee.
Do you like Kelly's cute red peacock? Tell us below!
Check out more pregnant celebrities:
Copyright: Vimeo / Weiss Eubanks