The 'Live While We're Young' stars also highlighted their set at the VMAs earlier this year.
One Direction have revealed their personal highlights of 2012 with Harry Styles saying the band's performance at the closing ceremony of the London 2012 Olympic Games "can't be topped".
The 'Little Things' five-piece also picked out performing live at the MTV VMAs 2012 as well as their first headline show at Madison Square Garden this month as some of their favourite memories of this year.
"For me the Olympics literally can't be topped," Harry revealed to Billboard, regarding the band's performance at the Olympic Stadium over the summer to mark the end of the Olympic Games in the UK.
"Just the feeling of being in that room, all our families were there," Harry explained. "The whole feeling was just unbelievable."
The 'What Makes You Beautiful' star also said playing the Video Music Awards earlier this year was an "unbelievable" feeling as it showed him how far the band has come since their days on The X Factor UK.
"There was something about being in the room and the whole kind of atmosphere that really surprised me," the boy band star explained. "To be on that stage and perform was unbelievable.
"I think it kind of felt like people learned a bit more about the One Direction thing. It felt like we were making music where people of all kinds could appreciate."
Fellow One Direction star Liam Payne also picked out his favourite moment of 2012, selecting the band's recent headline show at iconic New York venue Madison Square Garden.
"For me it would be popping out the floor of that big stage at Madison Square Garden the other night," Liam added. "I think that would be my moment for this year."
One Direction also performed in front of 16,000 fans at the Capital FM Jingle Bell Ball two weeks ago at London's O2 Arena.
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