The Brazilian, who suffered a foot injury in February that put him out for several months of last season, was clearly upset when he walked off with a leg injury to be replaced by Sergio Aguero.
The score was 0-0 at halftime after Aguero hit the post soon after coming on with his first shot at goal.
It was not immediately clear how seriously Jesus's injury was.
(Reporting by Rex Gowar; editing by Clare Fallon)