The actress attended the New York event with director-husband Anurag Kashyap on Wednesday.
Kashyap previously revealed to Digital Spy what they planned to wear for the screening: "Me jeans and shirt. She will definitely wear them yellow boots."
Refuting media reports that the film's yellow footwear was purchased in Kashmir, Kalki said: "The yellow boots bought in Kashmir? No, bought in London but trodden through snowy Kashmir and starring in Mumbai."
The Dev D star recently toured the UK acting in a comic interpretation of Hamlet.
Following the release of Zindagi Na Milegi Dobara and Saitan already this year, Kalki has both That Girl In Yellow Boots and My Friend Pinto scheduled to release within the next couple of months.
After a period of not working in film after her debut release, Kalki said of her busy schedule in 2011: "I can't complain."
That Girl In Yellow Boots is released in cinemas on September 2.
Watch the trailer for That Girl In Yellow Boots below: