A giant sign saying, "Severe weather approaching - please evacuate now" then flashed up on the festival's screens.
Lollapalooza tweeted that the four-day festival had been cancelled for the rest of the day.
Heavy rain, thunderstorms and lightning had been predicted to hit the festival's first day, but the show had gone mostly without a hitch, as acts like Wiz Khalifa and Cage the Elephant performed.
Liam Gallagher was the only act to experience any difficulties, leaving the stage after 20 minutes because of a sore throat.
Lorde had played just four songs - including Magnets, 400 Luxe and Tennis Court - when the festival was evacuated.
She'd just commented about the weather, saying: "Everywhere we go we've been getting crazy weather: wind, lightning, thunder, rain ... and Lollapalooza I like to think it's because you and I are going to conjure the spirits."
Other acts pulled off stage included Muse, Porter Robinson and Lil Uzi Vert.
After leaving the stage, Lorde tweeted: "f***s sake. i am so gutted guys i don't know what to tell you".
She was rumoured to be about to play Hard Feelings, from her recent second album Melodrama, for the first time live. "I wanna do something I've never done before," she said, before her production manager interrupted her.
Fans were quick to express their disappointment that her show was cut short.
It's a rough end to what had been a great day for the singer, after she released the video for Perfect Places to massive acclaim.
Lollapalooza is scheduled to run until Sunday, with performers including Chance the Rapper, The Killers, Arcade Fire and The xx.
Around 400,000 fans were estimated to have enjoyed last year's event over its four days.
Lollapalooza is streaming below:
