New video obtained by TMZ shows the "Vanderpump Rules" alum on stage at The Rave Eagles Club Saturday ... with fans showing up in droves, seemingly unfazed by James' arrest.

Check out the clip ... the crowd's dancing along as JK spun a high-energy set -- with James having the time of his life and grooving onstage.

We broke the story ... James was arrested earlier this week for misdemeanor domestic violence after cops say he got into an argument with a woman -- whose name has not been released -- and allegedly grabbed her.

As we reported ... according to a Burbank Police daily arrest log, a police officer made contact with James and the woman inside a residence Tuesday night. Inside, cops say the woman claimed her boyfriend picked her up and slammed her to the ground.

James' girlfriend, Ally Lewber released a statement yesterday letting her fans know she's doing alright in the aftermath of James' arrest ... while asking for privacy as she navigates this difficult time.

Kennedy released his own statement through his lawyers ... who say they're investigating the allegations against him -- adding they're hopeful the L.A. city attorney decides not to press formal charges.