The trio later returned to the stage for their second set of the show, with a performance on their newest single "Cool", before stopping halfway through the track.
Joe told the crowd they were "taking things back" with a track from their old days, and the band began a fast-paced performance of their 2008 track, "Burnin' Up".
The brothers also made sure not to miss out on all the fun when it came to the sketches, and made a hilarious cameo as a trio of party boys who burned down a rental house in a TV courtroom sketch featuring Oscar winner Emma, Kate McKinnon and Aidy Bryant as three celebrity courtroom judges who end up adopting the Jonas Brothers.
Since they officially reunited back in March, it's been a busy few months for the popstars. The trio have also been working on a documentary which highlights their career achievements and sheds light on the darker times they faced before they parted ways in 2013.
In one teaser clip for "Chasing Happiness", Joe and Kevin recall how they bitterly fought with younger sibling Nick when he wanted to go solo.
"Nick says, 'The Jonas Brothers should be no more'," Kevin said.
"What hurts the most is that it came from Nick," Joe confessed in an emotional clip. "He is my best friend."
"There were moments I thought, 'They'll never speak to me again,'" Nick added.
The trio's "Happiness Begins" tour kicks off in Miami, Florida this August, while the album of the same name will hit shelves on 7 June. "Chasing Happiness" debuts on Amazon Prime on 4 June.