Perrie Edwards, Jade Thirlwall and Leigh-Anne Pinnock posted the statement on social media following Jesy's announcement on Monday evening, explaining they will still be continuing as a trio.
"After an amazing nine years together, Jesy has made the decision to leave Little Mix. This is an incredibly sad time for all of us but we are fully supportive of Jesy," the statement began.
"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. We know that Jesy leaving the group is going to be really upsetting news for our fans.
"We love you guys so much and are so grateful for your loyalty and continued support of all of us. We're looking forward to seeing so many of you on tour. Love always, Jade, Perrie and Leigh-Anne xxx."
On Monday evening, Jesy announced she would be leaving Little Mix to work on her mental health.
The 29-year-old explained that she would not be returning to the band following her extended break, adding that the nine years she'd spent in Little Mix were the "most incredible" of her life.
She wrote: "To all my Mixers, the past nine years in Little Mix has been the most incredible time of my life.
"We have achieved things I never thought possible. From winning our first Brit Award to our sold out shows at the O2. Making friends and fans all over the world I can't thank you all enough from the bottom of my heart for making me feel like the luckiest girl in the world.
"You have always been there to support and encourage me and I will never ever forget it".
She went on to explain: "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.
"There comes a time in life when we need to reinvest in taking core of ourselves rather than focussing on making other people happy, and I feel like now is the time to begin that process.
"So after much consideration and with a heavy heart, I'm announcing I'm leaving Little Mix.
"I need to spend some time with the people I love, doing things that make me happy. I'm ready to embark on a new chapter in my life - I'm not sure what its going to look like right now, but I hope you'll still be there to support me.
"I want to say thank you to everyone involved in our journey. All the hard work and dedication that went into making us a success."
Jesy then went on to thanks every single fan for their support over the years. You can read Jesy's full statement here.
Fans were so supportive of Jesy's decision, with many posting their love on social media.
Meanwhile, ex-boyfriend Chris Hughes commented on Jesy's post: "The best" alongside a love heart emoji.
While Dermot O'Leary commented: "Big love Jesy x" and Saturdays star Frankie Bridge added: "So brave of you. Xx".
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