"It’s been a crazy week," Jonas said to his fans.
"I just wanna say, look – if you don’t hear it from these lips, don’t believe it. OK?"
Alongside brothers Kevin and Nick, he added, "Thank you everyone for your love and support. Me and my family love you guys."
Following his PSA, Jonas began singing the band's song "Hesitate," which he dedicated to Turner when it was released in 2019.
In videos taken by fans at the concert, Jonas appeared to get emotional during the ballad.
Last week, both Jonas and Turner released a joint statement on Instagram, calling the divorce amicable.
"There are many speculative narratives as to why but, truly this is a united decision and we sincerely hope that everyone can respect our wishes for privacy for us and our children."
Joe Jonas and Sophie Turner attend the 62nd Annual Grammy Awards at Staples Center on January 26, 2020 in Los Angeles, CA. (Photo by David Crotty/Patrick McMullan via Getty Images)
The couple, who share two children together, has been experiencing "serious problems" for the past six months, with Jonas' team reportedly already meeting with two Los Angeles-area divorce lawyers, according to TMZ.
The publication reported Jonas has been allegedly caring for their two children "pretty much all of the time" even while on tour with brothers Kevin and Nick Jonas. The trio kicked off their world tour on Aug. 12 in New York and will wrap up in North America on Dec. 9 before resuming the tour in February overseas.
PREVIOUS COVERAGE: Joe Jonas, Sophie Turner divorce imminent, TMZ reports
The couple first began dating in 2016 and were engaged a year later.
The couple wed in 2019 - twice. They first eloped in Las Vegas in May the same night of the Billboard Music Awards. Their second wedding was held a month later with friends and family in France.
They welcomed their first daughter in 2020, and their second in 2022.
Turner has remained silent since news first broke of the divorce.