Paul said he prefers rock to pop, and wants to try and make a success of the new group.
The band is called Skua - and Paul was a member when he was at school, before he became an S Clubber.
Paul told the Sun newspaper: "There are no bad feelings but I want to go back to my rock roots.
If I don't give this a go I would never forgive myself. It is something I've got to do for me."
But he says he's had a fantastic time over the past few years with S Club.
And it's not all over for the other six.
They've all signed new contracts, and have promised to stay together.
They say they won't get a new member - and will rename themselves plain 'S Club'.