A man has been arrested and the area is being searched as a precaution.
"We are carrying out an evacuation at the Utilita Arena 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."
An audience member said on X that the comedian had "just been dragged off stage abruptly and we've all been hurried out".
Another wrote: "That's weird 45 mins into the show, Peter Kay got rushed off stage and we've been told to leave the arena."
Geoff Marston, from Kettering, said Kay was taken off by floor managers and the audience ushered away from the building towards the canal.
He said nearby roads were gridlocked and security staff wouldn't tell them what had happened.
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," said a statement. "We can confirm everyone was safely evacuated and that the venue is secure."
Ticketholders will be contacted in due course. Kay is also scheduled to play in the city on Saturday night.
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James Broadnax, 37, was pronounced dead on Thursday after a dose of lethal injection in Huntsville, around 70 miles north of Houston, Texas.
Broadnax had said prosecutors misused rap lyrics he wrote to secure his death sentence.
His emotional British wife, named in various reports as Tiana Krasniqi, screamed "I love you" before Broadnax stopped breathing.
During the execution, she leaned up to the death chamber window with arms spread and had to be helped out of the prison.
Earlier in the day, the US Supreme Court had denied a request by Broadnax's attorneys to stop his execution.
Broadnax was convicted for the fatal 2008 shootings of two men outside a Dallas music studio.
Prosecutors said he and his cousin, Demarius Cummings, had shot and robbed Stephen Swan and Matthew Butler in the parking lot of Butler's recording studio in Garland. Cummings was sentenced to life without parole.
In his final statement, Broadnax protested his innocence but asked for forgiveness from the victims' relatives, some of whom, including the parents of each of the victims, were present.
He said: "I prayed to God for your forgiveness. Despite what you think about me, I hope to God that prayer was answered.
"But no matter what you think about me, Texas got it wrong. I'm innocent. The facts of my case should speak for itself. Period."
As the lethal dose of the sedative, pentobarbital, began, Broadnax urged his supporters to keep fighting, saying "don't give up". He was stopped in the middle of another sentence by a gasp.
He also shook his head briefly and all movement stopped, before he was pronounced dead 21 minutes later.
Prosecutors said he had confessed to the shooting and told reporters during jailhouse interviews that "I pulled the trigger" and that he had no remorse.
In his final appeals, Broadnax's lawyers focused on two issues: that Cummings had recently confessed to being the shooter and that his constitutional rights were violated because prosecutors eliminated potential jurors from his trial on the basis of race.
In a video recently recorded with a view to stopping the execution, Cummings said from prison: "I'm really gonna tell it like it's supposed to be told, that it was me, that I was the killer. I shot Matthew Bullard, Steve Swan."
In an earlier appeal, Broadnax's attorneys had also argued that prosecutors violated his constitutional rights by using rap lyrics he wrote to portray him as a violent and dangerous person in order to secure a death sentence.
Rappers including Travis Scott and Killer Mike had filed briefs at the Supreme Court in support of Broadnax's appeal.
Theresa Butler, Matthew Butler's mother, had asked that the execution proceed.
She wrote in a post on social media: "This so called confession from cummings is just a stall tactic by Broadnax's desperate defense team. Its all a lie."
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Broadnax was the tenth person put to death in the US this year, and the third in Texas, which has historically held more executions than any other state.
According to the Death Penalty Information Centre, there were 24 executions in 2023 and 25 the following year.
Last the year the figure rose to 47.
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.
Claire Freemantle has been charged with two counts of causing death by dangerous driving and seven counts of causing serious injury by dangerous driving after the incident in Wimbledon, southwest London.
The 49-year-old, from Edge Hill, Wimbledon, indicated through lawyers that she will plead not guilty when she appears at Westminster Magistrates' Court on 16 June.
Schoolgirls Nuria Sajjad and Selena Lau died in July 2023 when a Land Rover smashed through a fence at The Study Prep school, which was celebrating the last day of the summer term. More than a dozen people were also injured.
The Metropolitan Police said in June 2024 that the driver had suffered an epileptic seizure and would face no criminal charges.
But after concerns were raised by the families of the two young girls, a review of the case was carried out, and the force's Specialist Crime Command decided to reinvestigate the case.
Freemantle was arrested for the second time and released under investigation in January last year.
A statement released by Freemantle's lawyers said there are "serious questions to be answered" over why the decision to charge was reversed.
Mark Jones, criminal defence partner at Payne Hicks Beach LLP, said she would be "tortured for the rest of her life by the dreadful loss and injury" and "remains utterly devastated" by what happened.
He added: "We believe that initial decision by the CPS [Crown Prosecution Service] was the right one in these tragic circumstances and that there are serious questions to be answered about the reasons for its reversal today."
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The Met police offered an apology in a statement about their handling of the crash: "We are sorry for how we initially dealt with the incident and for the impact on those affected.
"We must now let both criminal proceedings and the independent investigation run their course.
"However, following a review of the Roads and Transport Policing Command we will be fundamentally resetting how the Met investigates fatal and serious collisions."
Separately, the Independent Office for Police Conduct (IOPC) is currently investigating officers for alleged racism in their handling of the case.
The watchdog previously said it was examining allegations that officers provided "false and misleading information" to the families after they raised concerns about the standard of the investigation.
The IOPC is examining complaints against 11 staff, including four serving officers and one former officer, who are being investigated for gross misconduct.
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%.