"Roxie was all Heart!" Jessica tweeted after the show. "Watching her up on that grandiose stage made me the proudest sister in the world. I love ya honey, I love ya!. Grrrrrrr"
Ashlee, 25, began her 10-week engagement as Roxie Hart in the popular musical Chicago after just 11 rehearsals. Her parents and husband, Pete Wentz, also attended the show.
"It's always been a dream of hers to do Broadway," mom Tina told PEOPLE at Inc. Lounge at the Time Hotel, adding that Ashlee has been dancing since she was 3 years old. "When she was a little girl, we would always come here to [Les Miserables] and she would sing "I Have a Castle on a Cloud" every day of her life. That was what she always grew up doing, so she loved it."
Ashlee, who was dropped from Melrose Place in October, had played Roxie before, during a run of the musical in London. The entire family will remain in Manhattan through Christmas, said her father, Joe.
"We're going to be here. We're going to be seeing our baby on Broadway. That's where we'll be," he said. Simpson also revealed Ashlee and Pete's New Year's Eve schedule: "They're going to be right here in this city working! She's here 'til Feb. 8. She does eight shows a week. She's going to be here working, and that's a great place to be."
Joe had kind words for his youngest daughter and her husband. "They love each other deeply. How could we complain about that? That's what makes our world go around. All we could ever ask is that they love each other."
He also said Jessica, who since splitting with Tony Romo has been working on a new reality series, The Price of Beauty, is a great catch too.
"You could never ask for a more loving woman or a more honest woman," he said.