Dunham has spoken about her figure several times in the past and been training with Anderson for the past few years.
Click through to see the actress' transformation, as well as more snaps from the event.
Dunham sported a gray tank top and patterned leggings at the event as she posed for photographers.
Even a snow storm can't block our love! Yes these are my incredible friends @jennikonner and @lenadunham holding my other incredible friend @gwynethpaltrow on our press line tonight! My endless loves ❤️????
A post shared by Tracy Anderson (@tracyandersonmethod) on
Dunham was joined by friend writing partner Jenni Konner, and the two posed with Anderson and even FaceTimed fellow Anderson devotee Gwyneth Paltrow, who was unable to make the event due to a snowstorm.
Just hours before the event, Dunham shared an Instagram shot of herself doing some yoga.
“Anatomy of a pigeon. Health is wealth (she says as she crawls across the bathroom floor begging for a donut and a Zantac and a pony...) Trying my darnedest. Love you @bethcooke_flow,” she wrote.
In 2015, Dunham spoke to espnW about how she has come to enjoy exercise and how working out has helped her deal with issues like endometriosis, anxiety and obsessive compulsive disorder.
"When it became something that actually gave me pleasure, I was shocked," she said. "Also, endorphins are real. You run with someone for an hour, you feel pretty good."
"I value my health and my happiness," she added. "And I've realized exercise can give me both of those things."