The new song, which was written by the British star two days before the gig, is about how she deals with fame.
Jessie J debuted a new track when she played a concert in New York City earlier this week. Titled "You Don't Really Know Me", the song features the British beauty talking about how she deals with life in the spotlight.
"Please forgive me if I get this wrong, I've never sung it before," Jessie told the crowd before giving them the first listen to the track, which she said she wrote two days before the show. "It's really honest about how I felt in the last year."
"Fame makes you feel like you have to be happy all the time and people want you to be perfect all the time and sometimes you don't want to take a photo with someone, sometimes you don't want to have a conversation with someone and that's not about being mean, that's about being human," she continued.
"And that's the biggest thing that I struggle with that sometimes people need something from me that I don't have to give and I pretend sometimes that I am OK when I'm not and it makes me feel like I'm going mad and so I wrote this song called 'You Don't Really Know Me'," she added.