The doting father — who was accompanied by a nanny — was photographed donning a black leather jacket on top of a black hoodie and dark-washed jeans as he got out of a black SUV.
He then went on to open the backseat door where his daughters, 3-year-old Willa and 1-year-old Delphine, sat.
A spy tells Page Six that the singer was “very sweet” with his kids as he held his youngest in his arms and talked to Willa about what was going on.
The spy also gushed over how affectionate he was, kissing both girls on the forehead at some point.
Inside, Jonas clapped along to the kiddie musical and even called out “Yes!” when Oscar, the Grouch asked if anyone was enjoying the show.
In order to avoid the crowds, the foursome exited the show early before jumping back into their SUV.
The Jonas Brothers frontman was also spotted Wednesday taking his daughters to Twinkle Playspace in Brooklyn to what was reportedly a birthday party.
Earlier this month, amid rumors that they were heading toward divorce, Jonas shocked fans when he filed to legally end his marriage to Turner after four years. In the court docs obtained by Page Six, he claimed that their marriage was “irretrievably broken.”
“It wasn’t anything more than [the bad-mouthing],” an insider told US Weekly on Wednesday. “But that was the final straw.”
Initially, the estranged couple put up a united front, posting a shared statement on social media.
“After four wonderful years of marriage we have mutually decided to amicably end our marriage,” they wrote.
“There are many speculative narratives as to why but, truly this is a united decision and we sincerely hope that everyone can respect our wishes for privacy for us and our children.”
However, the alleged goodwill vanished when the “Game of Thrones” star filed a bombshell lawsuit in Manhattan, alleging that Jonas was withholding their children’s passports to stop them from returning to her native England.
The actress also claimed she found out her estranged husband filed for divorce “through the media.”
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Jonas blasted the lawsuit, calling it a “harsh legal position” that goes against the “amicable co-parenting setup” he believed the two had both been working towards.
Meanwhile, a judge ordered that the children have to stay in NYC until the divorce details are finalized.
Page Six exclusively reported that Turner has been living in one of pal Taylor Swift’s downtown apartments with the girls while the complex custody details are ironed out. Before that, she had been staying in a posh Midtown hotel.
Swift has seemingly been a shoulder for the “Dark Phoenix” star to rely on as the two met twice in one week to have dinner together.