Nelson quit the group in 2020 after nine years, citing the toll on her mental health as the reason.
According to The Sun, Thirlwall has said that she and bandmates Leigh-Anne Pinnock and Perrie Edwards all needed therapy afterwards.
She told the new issue of Gay Times that after Nelson left the remaining band members were kept busy with work but that it hit them later.
"We were just cracking on as it were, and I think we were in a bit of shock for a long time because we just had to keep going,” she said.
"It wasn't until we had some time off at Christmas that it suddenly dawned on us what had happened.
"It was hard. It would have been for anyone and we've got each other, we have group therapy, we have our own therapists, and you do what you can.”
Little Mix was formed on The X Factor 2011 after hopefuls Nelson, Thirlwall, Pinnock and Edwards all originally auditioned as solo artists.
They won the competition and went on to enjoy huge success with hits such as 'Black Magic' and 'Shout Out To My Ex'.
Nelson announced in she was leaving in December.
“The truth is recently being in the band has really taken a toll on my mental health. I find the constant pressure of being in a girl group and living up to expectations very hard,” she said on Instagram at the time.
Watch: Little Mix address split rumours, saying band is 'forever'