The reclusive country's premier pop group was scheduled to perform in Beijing from the evening as part of attempts to restore troubled ties between the traditional allies.
But instead, the band's members headed to the capital's airport, according to Chinese news portal Sohu, which added the performance venue where they were scheduled to play had begun dismantling their stage.
Japanese network NTV showed footage of women in military coats arriving at the flight hub, while pictures of the band's disappearing act showed up on Chinese social media.
China has traditionally been North Korea's sole regional ally and main provider of trade and aid, but ties have become strained in recent years as Pyongyang has pressed ahead with internationally condemned nuclear tests.
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Kim himself has yet to visit Beijing, three years after inheriting power from his father Kim Jong-Il.
There was no suggestion as to why the band's trip had been cut short.
On Chinese social media, internet users suggested that the abrupt decision may have been related to Pyongyang's announcement this week that it had developed a hydrogen bomb.
The band's arrival in Beijing was widely covered, but the show was not open to the public, the National Center for the Performing Arts in Beijing told AFP.
The band have shaken up the reclusive country's generally staid music scene with renditions of patriotic songs, along with Western hits such as My Way and the theme from Rocky performed on electric violins.
The concert in Beijing was billed as a "friendship performance" by North Korea's state-run KCNA agency, which praised the "worldwide stylish band" as "the first standard-bearer on the ideological and cultural front".