The X Factor finalist went into the recording studio with the former Destiny's Child star after finishing third in the talent competition back in December.
However, following her exit from the programme, Lily wrote a series of tweets indicating that she had continued working with Rowland.
Confirming the news, Lily told This Morning: "Me and Kelly actually recorded in the studio not so long ago."
The 17-year-old also revealed that she has stayed in touch with her mentor since the show. She added: "I've got a lovely voicemail off Kelly which she left me just before Christmas. She said, 'Hello my little Lily'."
Meanwhile, Rowland will release 'Lay It On Me' as her new single from Here I Am in the UK on February 6.
> 'X Factor' Kelly Rowland exit denied: 'Conversations haven't started'
Watch the music video for Kelly Rowland's 'Lay It On Me' below: