You never forget your first heartbreak.

Paris Jackson made her first appearance on NBC's The Tonight Show Monday, so it was only appropriate that she shared a bunch of "firsts" with host Jimmy Fallon. After revealing that her first vinyl was The Beatles' 1967 classic Sgt. Pepper's Lonely Hearts Club Band—and her first CDs were the both of The Lion King soundtracks—the teen shared the first time she was star-struck.

"The first time was Alice Cooper, last October," Paris said. "He played on Halloween with [Johnny Depp] and Butch Walker and I got to meet him backstage. I was sitting probably this close—like, where you are at is where he was at—and I was like, 'I love you so much. I've always listened to you. I grew up loving you.' I was close to tears. I started watering up, like, 'Oh, my gosh!'" she said. "I'm crying thinking about it. He's amazing."

While Paris "weirded him out," she said Alice was "really nice" about her enthusiasm. "I was like, 'Yeah! Right on, dude.'"

Paris called the rocker "total bae," which made Fallon feel "so old."

Next, the 18-year-old revealed the first time she attended a concert was during Michael Jackson's Invincible Tour in 2001. "The first one that I actively wanted to see was High School Musical Live," she said. But star Zac Efron wasn't involved in the North American tour, which "bummed" her out. "He wasn't there. He was filming that movie with the horses. Wasn't he in a movie with horses or something? He was busy filming it when the tour was going on," she said. "That was the most depressing part. He wasn't there! I was like this heartbroken 10-year-old."

"Did he look like Zac Efron?" Jimmy asked. "No? What a nightmare."

During her first-ever late-night appearance, Paris also played a game of Egg Russian Roulette.

(E! and NBC are both members of the NBCUniversal family.)

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