The 57-year-old singer is in the midst of a bitter custody battle over her son with ex-husband Guy Ritchie, reported Billboard.
"We all go through challenging times in our life, and that includes me," Madonna began.
"I, too, go through challenging times in my life and right now is one of them. Sometimes I think I can't do a show.
I don't have the energy, I don't have the strength," she continued, her voice faltering.
Madonna paused to wipe away a tear while the audience cheered their support and chanted her name.
"I come out here tonight and I can see your faces, and I look into your eyes and I see so much love and it gives me strength. So thank you. You are rebel hearts. I feel your hearts beating with mine.
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