The 25-year-old singer is rumoured to have split from her fiancé Jake Roche, but during an appearance on The Jonathan Ross Show, which will air on Friday night, Jesy assured fans that she can always count on her bandmates for support.
Speaking about emotional ups and downs, including heartbreak, Jesy said: "That's what's lovely about being in a group, we all literally support each other and when we're going through bad times we can all relate to it."
"When we're going through bad times we can all relate to it," said Jesy
Bandmate Leigh-Anne Pinnock agreed, saying: "When I split up with my ex, I was thinking 'I have got my three best friends, what does it matter?'
"I'm so lucky to have these girls and that's how we feel all the time. We're the best of friends. People don't believe that we actually get on as well."
The Little Mix singer and Jake Roche are said to have split
Perrie Edwards notably went through a tough time last year, publicly dealing with the end of her engagement to Zayn Malik. The couple called off their wedding last summer – a shock move to their fans.
"For a normal girl to go through something like that it's hard," said Perrie, 23. "I think when the whole world is looking at it and talking about it, you feel a bit [affected by it].
"Obviously I didn't say too much about it, I briefly mentioned it. I wasn't going to not mention it… You're in control at the end of the day and I briefly mentioned it, kind of said what happened but I would never get into detail because it is personal."
Perrie Edwards also opened up about her split from Zayn Malik
The spotlight has recently been focused on Jesy as rumours are swirling that she and Jake, 24, are no longer tying the knot.
Jesy, who has unfollowed Jake on Instagram, was pictured on a night out with Little Mix on Wednesday – minus her engagement ring. So far, neither Jesy nor Jake have commented on reports that their romance is on the rocks, but the absence of the ring seems to suggest it's over for the young couple.
"Jesy and Jake had a huge barney – it wasn't pretty," an insider told The Sun. "They're not a couple who avoids rows easily but this was different and could signal the end of their relationship. Neither is giving much away as to what caused the fallout but clearly harsh words were said."