The single, which made its worldwide premiere last week, is a collaboration with Nicki Minaj and Ariana Grande, reported Digital Spy.
The 26-year-old singer admitted that not only was it the first time she'd performed it acoustically, but it was the first time she'd performed it live.
'Bang Bang' will appear as a single on Jessie J's upcoming third album, which is due out later this year.
It will also be featured as a bonus track on a deluxe version of Grande's forthcoming album My Everything.
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