The singer insisted that she is still shocked that they draw large audiences, particularly at last year's Glastonbury festival, which they played shortly after releasing their first single.
"Last year, on the weekend that 'Bulletproof' was number one, I had Glastonbury to play," she told The Independent.
"Nobody could have convinced me that there was going to be anybody at that gig. I thought, 'No-one knows who we are. This is Glastonbury. Maybe somebody knows who we are in [London's] Hoxton. No-one's going to turn up, I'm going to look like an idiot, and I'm so nervous'. And there were 10,000 people there.
"I did that at every single festival all of last year and, still, this year. At Coachella recently, I thought, 'There's not going to be anyone there', and there always is. I feel that if I always think the worst, I won't be disappointed."
Jackson recently revealed that she was considering recording a concept album for La Roux's sophomore LP.