The girls appeared on the BBC One series for the results show last night on Sunday December 9.
They sang new single Woman Like Me with an all female live band and dance break featuring four dancers.
The track is the first to be taken from their new album LM5, out now.
Little Mix - made up of Jesy Nelson, Leigh-Anne Pinnock, Jade Thirlwall and Perrie Edwards - triumphed on The X Factor seven years ago now.
It was revealed last weekend that former X Factor winners Little Mix would no longer be working with Simon's Syco company after a behind the scenes disagreement between the label and group's management.
"We’re ready for a new start. Change, especially in the creative industry is always good," said Perrie of moving to new label RCA Records.
Leigh-Anne added: “We were with Syco for seven years and had an incredible journey but it’s going to be nice to change it up and get a new view on us.
"A change and a fresh start is a good thing, we’re excited."
Speaking last month month, Simon insisted there was no 'falling out' between himself and the girls.
He said: "Well, I can show you all the correspondence between me and the girls over the years, there’s never been an instance when we’ve fallen out.
"As I said in my email to them, I stand by the fact they are the hardest working bunch of girls I’ve ever worked with. They deserve everything they’ve got.”
As well as their performance on the Strictly semi-final, Little Mix recently performed their new single on The X Factor.
However the group didn't appear on the final of the ITV series last weekend as they had been rumoured to.
Strictly Come Dancing airs Saturday and Sunday nights on BBC One.