Paul Cattermole said he was "over the moon" after bowing out of S Club 7 after four years.
The singer said he felt nostalgic about all the laughs the group shared.
But he says he is looking forward to doing his own thing with rock band Skua.
"I couldn't have asked for a better way to go out," said the singer following the Party in the Palace.
He announced he was quitting earlier this year and had no idea the Jubilee concert would be his last.
"When I realised I couldn't have planned it any better.
"People have been asking me how it feels to be leaving but it hasn't really sunk in yet - the occasion has swamped out any feelings I had.
"There's a feeling of nostalgia because of all the good laughs we've had, but I'm over the moon to be doing what I'm going to be doing."
There was drama during the band's performance when fireworks gave them a scare.
Tina Barrett said: "We had a shower of fire on us and I was quite worried. I thought we were going to go up in smoke." However, their fears were unrealised.