The question says it all.
Together with a colleague we were looking for this. We both had the feeling that there's another way to say it.
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"Warm up" act? I associate that more with comedians though rather than bands.
eta: Of course, support act as tinyd says.
We've used the slight variation openers. The band we're seeing tonight has three openers. You could also just use with or featuring if you're need this info for promotional materials or tickets.