The 22-year-old's voice cracked and she stopped singing during a poignant verse in the track, which she was performing just weeks after splitting from fiancé Zayn Malik.
Her Little Mix colleagues – Jesy Nelson, Jade Thirlwall and Leigh-Anne Pinnock – rallied around her, embracing Perrie in a group hug and comforting her.
Jesy then told the audience: "It's been a long day, and we've had no sleep, so I think this is why this has happened. We're just very emotional."
It's been reported that Zayn dumped Perrie via text message, ending their two-year engagement and three-year relationship, leaving her "devastated". She has remained relatively tight-lipped about the separation, only telling fans that she is "doing well" and is relying on her Little Mix bandmates for support.
Audience members at yesterday's AOL concert in New York shouted out their love for Perrie, while thousands more Little Mixers sent her messages of support via Twitter:
Poor @LittleMix Perrie Edwards just saw her break down live at a concert. Chin up girl, it will soon feel better— Jenna Jay (@JennaWebb1) August 20, 2015
The things the @LittleMix girls have been doing for Perrie is amazing! Beautiful girls!! N x— M.O (@MOMusic) August 20, 2015
We love you Perrie @LittleMix stay strong beautiful don't let the tears get you down your a strong beautiful woman who has done so much ❤️— Kelsey (@Kels_Louise1Dx) August 20, 2015
Little Mix's concert was in celebration of their four-year anniversary: they won the eighth series of X Factor in 2011 and have gone on to sell millions of records around the world and crack the lucrative and tricky US market.