Straight from the heart
The show was a preview of Lee's latest album, Liu Xing, or Pop, which attracted hundreds of fans on a chilly night.
"This is my ninth album and it really made me nervous," says Lee.
"For the first time, I wrote the lyrics for an entire album and when I sing them here tonight, I am sharing with you my life," she says during the show.
It has been more than a decade since the 33-year-old Lee, an unknown music student won the singing show Super Girl in 2005.
The TV show attracted a nationwide audience of 400 million and fans voted for the young singer with a neutral style and deep, soulful voice.
Her powerful individuality then made her a phenomenon in the country.
More than a decade later, she has grown into one of the best-selling female pop stars in the country.
She has also expanded her career into movies and fashion.
In recent years, she has starred in big-budget movies, such as Hong Kong director Tsui Hark's The Flying Swords of Dragon Gate, which features Jet Li and Zhou Xun. And she collaborated with American fashion designer Alexander Wang on costumes for her national tour last year.
According to Tencent Music Entertainment Group, which is under China's internet giant, Tencent, since the album, Liu Xing, was released on Nov 7 via QQ Music, the online music streaming service of Tencent, it has sold copies worth more than 16 million yuan ($2.4 million ).
Lee's last album, Growing Wild, in 2016, grossed over 32.8 million yuan and achieved China's highest digital music sales since QQ Music released the first Chinese digital album, Taiwan pop icon Jay Chou's Aiyo, Not Bad, in December 2014.
Speaking about her work, Lee says: "I've asked myself many questions like 'How is pop culture defined today?' 'What do we get from a pop music album? How do we interpret pop culture from different perspectives?'
"I wrote lyrics for the 10 songs to authentically express my views and answers."
The title song, Liu Xing, explores how people deal with the information shaped by social media networks.
Lee's song Firework, which was inspired by the explosion at an Ariana Grande pop concert in Manchester on May 22 this year.
The last song in the album, titled Yi Tang, refers to the journey of life, "once and only" as Lee puts it.