The former taxi driver and jazz singer was visiting the city to promote his new album at the Blue Note music club on Monday.
He wrote on his Twitter account on Friday: "Off to New york tomorrow to play two shows at the Blue Note on Monday 25th - very exciting. If you are in town do come along."
Mitch immediately cancelled his performance and took the next plane back to London after being informed of Amy's death, according to widespread reports.
Winehouse was found dead at her Camden, North London home on Saturday afternoon. Police are currently treating the death as "unexplained".
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Watch Amy Winehouse perform 'Tears Dry On Their Own' on Jools Holland below: