The 27-year-old wore a cosy deep blue coat with a fur trim. And although it was generously sized, her pregnancy figure could clearly be seen. She completed the look with some jazzy shoes – a pair of tartan canvas lace-ups.
Clearly, dressing with a fuller figure is something that has got Lily thinking. "Hmmm.... What to wear today, or ahem, how to hide my shameful baby bump," posted the pop star on Twitter.
Lily also shared news of a One Direction band member she spotted while laying down some tracks on Tuesday. "I just saw Harry Styles outside the studio," she tweeted, before expressing her amusement when a fellow twitter user asked: "What direction was he going in?"
Lily is due to welcome a new addition to the family she has created with her husband Sam Cooper in November. Her exact due date isn't known, but it's thought the new arrival will make his or her entrance around their daughter Ethel's first birthday on November 15.
If Lily and painting and decorating firm boss Sam know the sex of their new baby, or have picked out a name, they are keeping both firmly under wraps. The couple rarely speak about their private life, though Lily is an avid user of social media.
She recently gave fans the first look at her pregnancy figure when she posted a pic from her recent trip to Marrakesh. Wearing a loose grey jumper and black pants with flat shoes, the brunette was dressed for comfort.
Reports began to circulate in the summer that Lily was pregnant again, and that the Who'd Have Known singer had been for her three-month scan. This was when her daughter Ethel was just eight months old.
There was no official announcement from the star or her other half, painter and decorator boss Sam, but Lily's dad spoke on their behalf. He simply said: "Yes, she is pregnant," during an interview on This Morning.
The couple are overjoyed about the new arrival. They previously suffered heartbreak in 2010 when Lily lost a baby six months into a pregnancy. She also had a miscarriage in 2008 when she was dating Chemical Brothers DJ Ed Simons.
Lily wed Sam in August 2011 during a traditional country wedding held in Gloucestershire. There was a surprise under her lacy dress by French designer Delphine Manivet – the bride was four months pregnant with baby Ethel.
The singer has described Sam as a "normal bloke" and "the love of my life". She added: "Sam treats me differently. He’s told me he’ll look after me forever. That's what I've always wanted."