The trio, consisting of brothers Nick Jonas, Joe Jonas and Kevin Jonas, performed "Sucker," "I Believe" and "Only Human" during the intimate concert, released Monday.
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The Jonas Brothers are in the midst of their Happiness Begins tour and discussed bringing Kevin's daughters, 5-year-old Alena and 2-year-old Valentina, with them on the road.
"It's awesome," Kevin said. "I'm just not used to being woken up at 6 a.m. every morning after playing a show until midnight. So that's new. Lots of coffee, but it's awesome."
"Sucker," "I Believe" and "Only Human" appear on the Jonas Brother's most recent album, Happiness Begins, released in June.
"At this moment in our life when we wrote the album ... we were all sort of in a great spot and wanting to share our happiness with the world. There's so much negativity out there, we just felt like if we can bring a little bit of light to people's lives, then we're doing our job," Nick said.
The Jonas Brothers will perform their next show on the Happiness Beginstour Tuesday in Denver, Colo. Nick, Joe and Kevin's wives, Priyanka Chopra, Sophie Turner and Danielle Jonas, supported the trio at the tour opener in Miami, Fla., in August.
