The group are seen getting ready for the gig in the clip, where the nerves kick in moments before they are due on stage.
Frankie Sandford said: "We're just waiting to go on, and it's a massive mix of excitement and everyone's just so nervous.
"It's something we've always wanted to do and Wembley is a massive thing for all of us."
The video also shows the band performing their hits 'Higher', 'Forever Is Over', 'All Fired Up', recent single 'My Heart Takes Over' and a number of cuts from their latest album On Your Radar.
The clip was shot during their 11-date 'All Fired Up' arena tour last December, which also included shows in Manchester, Liverpool and Sheffield.
Member Vanessa White recently told Digital Spy that the group were "happy" with the performance of their new LP, after it peaked at number 23 on the chart.
Watch the 'All Fired Up' tour backstage footage below: