At least three people were killed. The members of the band survived.
The accident happened as a storm swept through a festival under way near the town of Hasselt about 50 miles east of Brussels.
The stage collapse came days after a similar deadly tragedy at the Indiana State Fair.
The show in Belgium was Smith Westerns' first stop on a two-week European tour. There were high winds, heavy rain, and hail at the time of the performance. Before the band could get to safety, the stage supports gave way.
A video shot near the stage shows musical equipment swaying before disaster struck.
The stage collapse happened at the popular Pukkelpop music festival, sending thousands of stunned concertgoers running through sheets of rain. At least three people in the crowd were killed and more than 70 others injured.
"We were just dancing away, and then it caved in at the middle and people screamed and ran and everyone was just running away," said concertgoer Brinnie Gardner.
On stage was Chicago-based band Smith Westerns. They played at Lollapalooza in Grant Park earlier this month.
Front man Cullen Omori, his brother Cameron Omori, and guitarist Max Kakacek were on stage and barely escaped injury.
"All of the canvas was all torn, all ripped, and all the lights and the big metal poles that were holding it were just gone," said Gardner and a friend.
In a statement, Cullen Omori said the band's thoughts and prayers go out to the victims' families.
"We had just finished the first song," Omori wrote, "and we were about to play the next one when our tour manager yelled at me to run off the stage. Right then the tress collapsed one foot in front of Max."
Among the five people killed in the earlier stage collapse in Indiana was Christina Santiago of Chicago. On Thursday, loved ones paid their respects in her native New York.
Stagehand Nathan Byrd was also remembered Thursday at a service in Indiana.
The music festival in Belgium was expected to draw about 60,000 people over three days. Among the scheduled acts were the Foo Fighters and Eminem, but as of Thursday night in the U.S., the festival has been suspended.
A manager for Smith Westerns Thursday night was unsure what this all meant for the band's European tour. He said the band was more concerned about the victims.