The 'Hard Out Here' singer was snapped leaving the venue in a huge pink furry coat, complete with American football style black stripes around the bottom.
Lily made sure her face and head were shielded from the cold too, as she sported a black hood and huge round sunglasses with pink frames.
The entire outfit seemed carefully planned to coordinate with Lily's newly pink-tinted hair and it certainly got her noticed by the waiting photographers.
Whilst inside the venue Lily showed off a slightly more toned-down look as she posed for photos in a classic LBD with an attached cream half-skirt.
She and Sam were joined at the anniversary celebrations by stars including singer Pixie Lott and Xtra Factor host Sarah-Jane Crawford.
Lily recently praised her husband Sam for being so supportive when their son was stillborn in 2010.