A man has been arrested and the area is being searched as a precaution.
"We are carrying out an evacuation at the
in Birmingham after a potential suspicious bag was found," West Midlands Police said.
"A 19-year-old man is in custody and as a precaution the site is currently subject of a search."
One audience member said on X, formerly Twitter, that Kay had "been dragged off stage abruptly and we've all been hurried out".
Another, Jason Grinham, wrote on the platform that he had just been evacuated and had seen "Peter Kay bundled off stage".
Steve Aspinall, who was there with his wife, told PA: "Two guys came on, one with a mic and headphones, one guy whispered to Peter Kay, and then he and Peter Kay shot off down the side."
Geoff Marston, from Kettering, said the audience was ushered away towards the canal but security staff wouldn't tell them what was going on.
Miranda Richardson, a pub landlady from Northampton, 52, said: "It was very swift. One minute (Kay's) on stage and the gig is great, then two of the event team walk on stage straight to him, quick word and he's ushered off.
"The staff tell us due to unforeseen circumstances we all have to evacuate the arena straight away.
"Staff helped get people out and it was calm and swift. We heard very quickly someone had claimed a bag had been left somewhere. No messing, it was just all out."
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The alert reportedly happened about 45 minutes into the show.
Arena bosses said the venue was evacuated on police advice "after a potential suspicious bag was found nearby".
"The safety and security of our customers and colleagues is our highest priority," the venue's statement said.
"We can confirm everyone was safely evacuated and that the venue is secure."
Kay is also scheduled to play at the 15,800-capacity arena on Saturday night.
All profits from his long-running hit tour are going to a range of cancer charities.
On Friday, the US president said he would be imposing the measures after accusing the EU of "not complying" with an agreed trade deal.
He said the tariffs, which will come into effect next week, will be increased to 25%.
But in response, the EU parliament's trade committee chair, Bernd Lange, said the move showed the US was "unreliable".
Mr Lange said: "This latest move demonstrates just how unreliable the US side is.
"We have already witnessed these arbitrary attacks from the US in the case of Greenland; this is no way to treat close partners.
"Now we can only respond with the utmost clarity and firmness, drawing on the strength of our position."
Mr Lange, who said the EU was honouring a framework trade deal struck with the US in Scotland last year, also described Mr Trump's behaviour as "unacceptable".
The deal struck imposed a 15% import tariff on most EU goods, averting a bigger trade war.
The US had repeatedly breached the agreement, he claimed, "for example with over 400 products containing steel and aluminium, which are now subject to an average tariff of 26 percent".
But a Trump administration official, when asked to explain the president's move, said: "The EU has not complied with the autos deal after eight months."
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Mr Trump told reporters at the White House that the higher tariff would force European car makers to move their factory production to the US more swiftly.
Mr Trump had said in a Truth Social post: "I am pleased to announce that, based on the fact the European Union is not complying with our fully agreed to Trade Deal, next week I will be increasing Tariffs charged to the European Union for Cars and Trucks coming into the United States.
"The Tariff will be increased to 25%. It is fully understood and agreed that, if they produce Cars and Trucks in U.S.A. Plants, there will be NO TARIFF. Many Automobile and Truck Plants are currently under construction, with over 100 Billion Dollars being invested, A RECORD in the History of Car and Truck Manufacturing.
"These Plants, staffed with American Workers, will be opening soon - There has never been anything like what is happening in America today! Thank you for your attention to this matter. President DONALD J. TRUMP."
Shares of Ford Motor fell 2% after Mr Trump's announcement, with Stellantis down 1.7% and General Motors down 1.5%.
Weapons - including bottles and knives - were seen and used during the brawl on Southend High Street at around 7.50pm on Friday, police said.
The two wounded teens suffered wounds to their faces and are receiving treatment in hospital for non-life-threatening injuries.
Dispersal orders were put in place last night for Southend High Street, Queensway through to Hamlet Court Road and the seafront.
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Police said the orders would allow officers to search people or vehicles for offensive weapons without suspicion, and insist upon the removal of face coverings.
Officers will continue patrolling the area.
Kumanjayi Little Baby, named in line with Indigenous cultural practices that avoid naming the deceased, was found dead south of Old Timers Camp in central Australia on Thursday.
Jefferson Lewis is alleged to have abducted the girl from an Indigenous community near Alice Springs last weekend.
He was beaten unconscious by a mob before being arrested in connection with her death later Thursday, police said.
Images from the Alice Springs Hospital on Thursday night show police dragging protesters away as crowds gathered outside the hospital, shouting and confronting officers.
Some protesters threw objects toward police, while smoke rose near the scene, and police vehicles were surrounded and damaged.
Police fired rubber bullets and tear gas to disperse the crowd.
According to the Associated Press, hundreds of people demanded Lewis face what they consider justice under customary law, which can involve spearing or beating.
The hospital later discharged Lewis to the police, who flew him to Darwin, about 900 miles to the north, for his own safety.
He is expected to be charged in the coming days.
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Calling for calm, James Gray-Spence of Northern Territory Police said the riot was "disgraceful behaviour... however, it was only a minority that engaged in that behaviour".
"The standard we stand by is the cooperation and collaboration we have seen from the Alice Springs community," he added.
Michael Liddle of the Alice Springs Town Council also said: "All week, the community of Alice Springs came together... searching for a little baby that was taken by a monster.
"That hard work was undone last night by some people who were very angry with the system."
The 66-year-old suspect was arrested in the Dunmurry area under the Terrorism Act on Tuesday.
He faces charges including attempted murder, possessing explosives with intent to endanger life or cause serious injury to property, causing an explosion likely to endanger life or cause serious injury to property, possession of articles for use in terrorism and hijacking.
It comes after a delivery vehicle was hijacked in the Twinbrook area of west Belfast on Saturday.
A gas cylinder device was placed inside the car and the driver was ordered to take it to Dunmurry police station near Belfast.
The vehicle exploded outside the station as residents were being evacuated, including two babies.
Nobody was injured.
The man who has been charged is expected to appear before Lisburn Magistrates' Court on Saturday.
As is usual procedure, all charges will be reviewed by the Public Prosecution Service.
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The Irish News newspaper quoted dissident republican group the New IRA on Tuesday as claiming responsibility for the attack.
The New IRA is among a number of active groups opposed to a 1998 peace deal.
The Dunmurry incident took place weeks after an attempted car bomb attack on Lurgan police station.
On Monday, the Police Service of Northern Ireland (PSNI) released footage of the moment the Dunmurry car bomb exploded, after political leaders and the chief constable Jon Boutcher jointly condemned the "reckless" attack.
The footage shows a person walking along a path before a large flash of light erupts ahead.