The 57-year-old singer is in the midst of a bitter custody battle over her son with ex-husband Guy Ritchie, reported Billboard.
"We all go through challenging times in our life, and that includes me," Madonna began.
"I, too, go through challenging times in my life, and right now is one of them. Sometimes I think I can't do a show. I don't have the energy, I don't have the strength," she continued, her voice faltering.
Madonna paused to wipe away a tear while the audience cheered their support and chanted her name.
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