The X Factor group met Lloyd at the Cosmopolitan Awards on Thursday, but Nelson was absent due to illness.
The 'Swagger Jagger' singer called to offer her support to Nelson after she broke down on last week's show due to negative comments being posted about her on the internet.
Little Mix member Perrie Edwards told The Sun: "Cher is so lovely, she's such a lovely down-to-earth girl. She rang Jesy and said, 'Jesy come, just enjoy it' but she was too ill.
"She just gave us lots of advice and told Jesy not to listen to it, because she had it all before and if she had listened to it she wouldn't be where she is now, so I think that was really nice."
Lloyd has previously called for the government to tackle online bullying after receiving death threats on Twitter.
Meanwhile, Nelson has received support from the public since speaking about her feelings on The X Factor.
She said: "I've had a really lovely response, people have been writing me poems and sending me lovely messages."
> Exclusive: Cher Lloyd: 'I can relate to X Factor's Misha B bullying claims'
Watch Cher Lloyd's music video for 'With Ur Love' below: