The band played new cut 'Wedding Bells' during their reunion show at New York's Radio City Music Hall on Thursday (October 11).
"So far during the creation of our new record there's been a wide range of subjects we talk about," Nick Jonas told the crowd.
"It's about enjoying those moments and staying in those moments, and some are momentary, in the sense you have to write a song and apologise for it later."
He added: "I don't know if I've ever written a song that makes me as uncomfortable as this song does."
Online reports have since concluded that the track was written about Nick Jonas and Miley Cyrus's previous relationship.
"If you recall our anniversary falls/ Eleven nights into June," Nick sings in 'Wedding Bells', which, according to MTV, was the date Jonas and Cyrus began dating back in 2006.
"I remember the exact date, June 11, 2006. It was the day I met my first love. Let's call him Prince Charming," Cyrus previously wrote in her autobiography Miles to Go.
"I don't want to use his name, because this isn't about who he is or what I meant to him. It's about how I felt and what our relationship meant to me."
The Jonas Brothers recently teased that their new single should be released in the near future.