The country superstar, 35, gave McLoughlin, 28, a sweet shoutout before performing the tune at the Borgata in Atlantic City, N.J., this weekend.
“Lucky for me, I’m not in a sad time anymore in my life, thank you to my sweet husband — from Staten Island, by the way," she told the crowd.
“So even though I’m not sad anymore thanks to Brendan, my husband, I still love a sad country song with all my heart, so I’m going to sing a sad one if you want to get sad with me.”
Lambert first told fans in February she tied the knot to McLoughlin in a secret ceremony in January. The couple first met in November, and have been dividing their time between Lambert's Nashville home and McLoughlin's native New York City ever since.
The "Little Red Wagon" artist also opened up about her new role as a stepmother, as she now raises her husband's son, who was born days after the newlyweds first met. McLoughlin shares his son with ex Kahila Rettinger.
"We have the best of both worlds," she told Extra in June. "We spend time in New York, we get to see our adorable nugget, then we get to come back to the farm and have the quiet life. I’m enjoying the balance."
She added: "My stepson is amazing. I'm loving that whole phase, and I’ve raised a million dogs, so I feel like I’ve got that part of my womanly/motherly thing full, so this is a whole new journey. It’s great."
Before meeting McLoughlin, Lambert briefly dated Turnpike Troubadors singer Evan Felker, who was married when they first starting dating in April 2018.
Before Felker, Lambert dated singer-songwriter Anderson East for two years. Their split was revealed just as reports emerged that she and Felker were dating.
Lambert was married to Blake Shelton from 2011 to 2015. They dated for five years before tying the knot and met while he was still married to his first wife, Kaynette Gern. Lambert's ex-boyfriend later said she cheated on him with Shelton.