The singer, 33, said she had lost her baby ahead of a gig in Los Angeles on Wednesday, after discovering there was no longer a heartbeat hours earlier.
Jessie accompanied the heartbreaking post, in which she described having “the loneliest feeling in the world”, with a photograph of herself holding up a pregnancy test.
The star said she was “shocked” by the news, after deciding to have a baby on her own, following a split from former boyfriend Max Pham last month.
In an emotional post, Jessie wrote: “Yesterday morning I was laughing with a friend saying ‘seriously though how am I going to get through my gig in LA tomorrow night without telling the whole audience I am pregnant’.“
By yesterday afternoon I was dreading the thought of getting through the gig without breaking down…
“After going for my 3rd scan and being told there was no longer a heartbeat
“This morning. I feel like I have no control of my emotions. I may regret posting this. I may not. I actually don’t know.”
Explaining her decision to continue with a gig on Wednesday, she continued: “What I do know is that I want to sing tonight. Not because Im avoiding the grief or the process, but because I know singing tonight will help me.
“I have done 2 shows in 2 years and my soul needs it. Even more today. I know some people will be thinking she should just cancel it.
“But in this moment I have clarity on one thing. I started singing when I was young for joy, to fill my soul and self love therapy, that hasn’t ever changed and I have to process this my way.
“I want to be honest and true and not hide what I’m feeling. I deserve that. I want to be as myself as I can be in this moment. Not just for the audience but for myself and my little baby that did it’s best.
“I know myself and I know I would talk about it on stage because that’s who I am. So instead of a tearful emotional speech trying to explain my energy. This feels safer.”
Jessie went on: “I decided to have a baby on my own. Because it’s all I’ve ever wanted and life is short. To get pregnant was a miracle in itself and an experience I will never forget and I know I will have again.
“Im still in shock, the sadness is overwhelming. But I know I am strong, and I know I will be ok.
“I also know millions of women all over the world have felt this pain and way worse. I feel connected to those of you I know and those of you I don’t. “It’s the loneliest feeling in the world.
“So I will see you tonight LA. I may crack less jokes but my heart will be in the room.”
Last month, via an Instagram Q&A, Jessie revealed to her fans she and former boyfriend Max Pham had split after seven months of dating.
The singer insisted “nothing dramatic” caused the break up, and stressed that both parties “were happy” following their decision to part ways.