The preview was the 28-year-old singer's first solo set at the venue, which hosted Girls Aloud's first public performance in 2002.
Cole performed album tracks 'Screw You' and 'Under The Sun', as well as the lead single from the record, 'Call My Name'.
Dressed in an orange, yellow and white shorts and cropped top combo, the star interacted with screaming fans towards the end of her set before she was presented with a cake by the club's promoter Jeremy Joseph.
Cole's 'Call My Name' is on course to top the charts this week, with estimates suggesting the track is the fastest-selling single of the year so far.
A Million Lights is released in the UK tomorrow.
Listen to A Million Lights album track 'Ghetto Baby' (written by Lana Del Rey) below: