The Anurag Kashyap-directed project was co-written by Kalki, who also performs the title role in the film.
"I am thrilled, excited, nervous and very happy for the premiere. I am so looking forward to it," said the Dev D star.
The production has already received critical acclaim at international film festivals in Toronto and Venice.
Speaking to Digital Spy last year, Kalki described the Mumbai-set film as "offbeat and quite dark".
Naseeruddin Shah also features in the cast, which explores the story of a girl who comes to India in search of her missing father.
The actor wore the yellow boots from the movie when leaving Mumbai airport for the US.
That Girl in Yellow Boots gets an independent international release on September 2, after Kashyap described Indian distributors as "idiots".