The girl band, who recently scored a number one with break-up anthem Shout Out To My Ex, faced criticism over racy outfits during a performance on the X Factor last month.
The singers have also spoken of being caught up in an earthquake in Japan.
Perrie Edwards, who along with fellow singer Jade Thirlwall is from South Shields, said: "Me and Jesy are lying in bed having a little moment, a heart-to-heart and I'm looking at her and the bed is (shaking)...
"She thought a man had came into our room and started shaking the bed.
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"We were on the 27th floor," added Jade.
"Leigh-Anne was snapchatting, getting a nice filter."
They have also opened up about the pressures they face over their looks and outfits.
Jade, 23, revealed last month she had developed anorexia from the age of 13.
She began visiting the hospital every week and undergoing therapy sessions.
By the end of secondary school, she said she was back to full health and she had a new outlook on life.
Speaking on the Jonathan Ross Show, Jesy said: "The way that we feel about ourselves. Especially in the beginning, we did get a lot of stick.
"Obviously we'd just been thrown into this whole experience so we'd never experienced anything like this and it was just a bit of a shock to the system.
"I think there's a lot of pressure, especially for young girls, to look a certain way and when we went on The X Factor we didn't look that great and we got a lot of stick for it and it was hard.
"We still get it now but I think we've grown a thick skin now to it all.
"It's hard especially when you're so young and you're not used to people just being able to comment on what you look like and being able to see it in front of your face, it's hard."
Asked if they would like children in the future, the group joked they were planning on forming a new band with their offspring.
Leigh-Anne Pinnock said: "It's really weird when you say that. When we have kids, that is just so strange, it will change us. We already said we're going to have kids at the same time and then we're going to form another 'Little Mix' band."
Also appearing on ITV programme were Jeremy Clarkson, Robbie Williams and comedian Micky Flanagan.
The Jonathan Ross Show airs tomorrow at 9pm.