The former Friends actress showed off her toned legs in a black summer dress, which she teamed with a straw hat and flip flops as she filmed in the searing New York heat.
Jennifer stars alongside Owen Wilson in the movie; they previously worked together in the tearjerker Marley & Me.
Squirrels To The Nuts is centred around a married Broadway director who falls for a prostitute-turned-actress and decides to help her advance her career.
Jennifer, 44, was back at work after spending the weekend in California, where she attended the wedding of US late night talkshow host Jimmy Kimmel.
The actress was joined by fiancé Justin Theroux for Jimmy's star-studded nuptials to Molly McNearney (his show's chief writer) in Ojai. Other guests included Jennifer Garner and Ben Affleck, Kristen Bell, Matt Damon and Emily Blunt.
A source told Us Weekly: "Jen and Justin seemed very happy and in love. She had her hand on Justin's knee for most of the ceremony and was intently listening. At one point, she put her arm around Justin's neck and then put on her reading glasses and glanced at the wedding programme."
Jennifer and Justin became engaged in August 2012 on Justin's birthday, but no wedding date has been publicly announced yet.
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