The 29-year-old said in a post shared on Instagram Stories on Thursday: “I just want to say thank you so much to everyone [sic] of you that has shown me so much love and support over the past few days.”
“I appreciate it so much,” she added. “Love you all.”
Nelson had been a member of the British band since they formed in 2011.
But in a message posted on Twitter on Monday, the group — now made up of Leigh-Anne Pinnock, Jade Thirlwall and Perrie Edwards — confirmed that after “9 amazing years” Nelson had decided to leave.
“This is an incredibly sad time for all of us but we are fully supportive of Jesy,” the band said in the statement.
“We love her very much and agree that it is so important that she does what is right for her mental health and well-being. We are still very much enjoying our Little Mix journey and the 3 of us are not ready for it to be over.”
On Monday, Nelson, who has been widely celebrated for opening up about her mental health struggles, shared a post on Instagram explaining her decision to leave Little Mix.
She said her fans had made her “feel like the luckiest girl in the world” and that the past nine years spent with the band had been “the most incredible time of my life.”
She said she was leaving “with a heavy heart.”
“The truth is recently being in the band has really taken a toll on my mental health. I find the constant pressure of being in a girl group and living up to expectations very hard,” she wrote in the post.
“I need to spend some time with the people I love, doing things that make me happy,” Nelson added.
“I’m ready to embark on a new chapter in my life — I’m not sure what it’s going to look like right now, but I hope you’ll be there to support me.”