The 'Marry The Night' star was spotted wearing the huge coat as she left the Soho Screening Rooms.
The purpose of Lady Gaga's visit to London is unclear, although it comes just days after the star performed a one-off gig in India.
The concert, which formed part of an after-party for the Formula One Grand Prix, saw the star perform 'Marry The Night' live for the first time.
Speaking to fans at the concert, Lady Gaga said: "So, I feel like I've waited a lifetime to come here tonight, and I'm very grateful.
"I'm so, so happy that I get to be here and sing for all of you, and I just wanted to make it so perfect."
Meanwhile, Lady Gaga has directed the video for 'Marry The Night', which is released as her next single on 21st November.
source: capitalfm
