The star - who had been part of the band since they were founded on the X Factor in 2011, going on to win the series - said being in the band was having a bad impact on her mental health.
The three remaining members have confirmed their new single Confetti from their 2020 album of the same name will be relased at the end of the month. It features the US rapper - know for hits Best Friend and My Type.
The girls tweeted: “The news you’ve all been waiting for... our brand new single Confetti featuring @Saweetie is out 30/04.”
Jesy, 29, is reportedly in the middle of a bidding war between record labels who want to snap her up post Little Mix.
A source claimed: “Jesy’s tracks have got the music industry in a spin and she has big-money offers on the table from a few key record labels all desperate to sign her.
“It’s an exciting time for Jesy as she’s in a great place and has loved being creative in the studio.
“If all goes to plan she’ll have music out this year and will have some sure-fire hits. The world is her oyster.”
Jesy said earlier this year she has previously “mentally bullied” herself in an effort to please others.
The singer made the comment in a social media post alongside an image of herself in the gym which she said made her feel “so sad”.
Writing on Instagram, Nelson said: “On the day this picture was taken, I remember going to the gym with my manager and I stood in the mirror and I said, ‘god I’m so fat I just want my legs to be like this’ and I pulled my skin around to try and create a thigh gap because I genuinely believed that being skinny would make me happier.
“And even when I got to a size 8 from starving myself, I still wasn’t happy.
“I mentally bullied myself everyday to try to please other people.
“It’s taken me 10 years to realise that I’m the only person I need to please.”
She added that people “find it so easy to pay other people compliments but yet we find it so hard to be kind to ourselves”.
“So if you’re someone who is feeling like I was, please don’t waste years of your like seeking approval from others, seek approval from yourself,” Nelson said.
“Be your number one fan. You are the one in control of your happiness and you are the only one of you in this world and that’s pretty f****** powerful!”
Last month Nelson scored her final number one with Little Mix after single Sweet Melody, from their recent album Confetti, topped the charts.
Little Mix formed on The X Factor in 2011 and have become one of the country’s biggest-selling girl bands.
They auditioned on the ITV singing show as soloists, but were placed into a group by judges in the show’s later stages.