'Thunder' is the third single from the 25-year-old singer's upcoming second studio album, Alive, reported Daily Mirror.
"Thunder' is a dedication to God. That's why in the video I'm levitating - that feeling of being lifted to the light. I remember I prayed a lot when I worked on this album and it's not something I've ever spoken about openly," Jessie said.
"But I'm just more confident and feel more comfortable to be open about my beliefs and feelings on the world now. I thank God every day for my blessings and my talent," she added.
"Whenever I can I do go to church and I feel that when you're right with your religion, your church travels with you," she said.
"I've very much enjoyed bringing my beliefs onto the album. I think it's important that whatever your beliefs are you use them in your day-to-day life," she added.