"I'm so sorry to those of you who were excited to come, and those who bought tickets for the special events. I am really gutted.
"I have had so many touching messages from many of you who have come face to face with the 'Black Dog' too and I have been inspired and motivated by quite a few of them, so thank you for sharing.
"What I've learnt from this experience so far, is that sometimes you just have to STOP everything, and take care of yourself first for a change.
"I'm lucky to have really understanding friends, family and work mates who support this," she said.
Co-host and husband Dom Harvey told listeners that Jay-Jay was "in one of the toilet cubicles crying at the time" of her disappearance from her radio show.
"Jay-Jay is a sufferer of depression and exhaustion I guess as well. She takes a lot on and she gets to the point where things can get a little bit too much," said Dom, who said there was "a lot of family stuff going on" in their lives.
Where to get help:
• Lifeline: 0800 543 354 (available 24/7) • Suicide Crisis Helpline: 0508 828 865 (0508 TAUTOKO) (available 24/7) • Youthline: 0800 376 633 • Kidsline: 0800 543 754 (available 24/7) • Whatsup: 0800 942 8787 (1pm to 11pm) • Depression helpline: 0800 111 757 (available 24/7) • Rainbow Youth: (09) 376 4155 • Samaritans 0800 726 666 • If it is an emergency and you feel like you or someone else is at risk, call 111.