He was said to be "in and out of crying fits" following news of her death but took to the stage just hours later for an emotional show.
During the Mississippi concert, the singer blew kisses to the sky and said: "I love you, Whitney," according to Us Weekly.
"The hardest thing for me to do is to come on this stage," he added, as he received huge applause from the audience.
Brown apparently broke down while singing 'Roni' and asked the audience to sing along with him. He left the stage as he was unable to finish the song and the gig ended shortly after.
A relative of Brown's said: "He wanted to tell everyone about it before it hit the news. He didn't want any of us to hear about it on television.
"He could hardly get the words out when he called me. He was sobbing, and by the end of the call, I was sobbing too. He's beside himself right now."
The couple, who married in 1992, had an infamously turbulent relationship and finally split in 2006, divorcing a year later.
They have an 18-year-old daughter together called Bobbi Kristina.
Houston died in LA on Saturday (February 11), aged 48.
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Watch Whitney Houston's video for 'Greatest Love Of All' below: