The 29-year-old 'Call My Name' singer is seen wearing a pair of oversized sunglasses and a sleeveless top in the photo.
She added in the accompanying tweet: "Sweaty hair, sweaty face and sore toe but first day of rehearsals is over!! Phew!! EXCITING!!!"
Cole, who is reportedly dating LA dancer Tre Holloway, is set to kick off her 'A Million Lights' tour in Belfast on October 3.
Last week, fellow Girls Aloud star Kimberley Walsh posted a picture on her Twitter page of Cole and Nicola Roberts performing Mo Farah's Mobot and Usain Bolt's winning pose.