The song, which was the last single to be released before the death of Linkin Park's frontman Chester Bennington, was performed by Lee on piano alongside the Halestorm vocalist on stage at the Veterans Memorial Coliseum in Portland, Oregon.
Halfway through the rendition, the cover springs to life as they're joined by the rest of the band. Then, leaving the piano, Lee stands up to deliver a powerful performance next to Hale.
In a recent interview with Revolver, the two vocalists discussed the admiration they hold for one another.
"With Amy, she's an otherworldly talent" explains Hale. "Alice Cooper once told me that you can't teach charisma, you can't teach that intangible thing that makes you great, and Amy has that, she was born with it. You can teach people how to sing, but you can't teach people that.
"When Amy sings, she reaches into your soul and squeezes it and doesn't let go until the song is over and you're, like, 'What just happened to me?!' For me, from a technical standpoint, it's effortless... Collaborating with Amy is so much fun because I know that she's on that top level and that she cares."
While Lee adds, "I'll put it simply, when we're singing together — our voices are different but similar in range — I end up not hearing the difference between us. We're singing different notes but when we both lock in it feels like being a part of a choir.
"You feel something happening and you know you're a part of it. You wonder if it'll keep going even after you stop. It's just very cool to be so in sync with a live singer. I think both of us are just used to locking in with our own vocals on a track and syncing up perfect background vocals to what we just did, but to have that happening in real time with two different voices is just really special. It's not something I get to experience often and it's just a complete pleasure."
Watch fan-footage of their cover of Heavy below: