The 28-year-old rapper, whose real name is Amala Raina Zandile Dlamini, shared photos and video of herself and fashion designer Guram Gvasalia shopping for jewelry ahead of the annual fashion event.
In one clip, Doja Cat is holding what appears to be a white bedsheet around her with black Christian Louboutin heels.
She drops one part of the sheet, exposing a black G-string thong.
It appears that the bedsheet look is actually a dress designed by the fashion label Vetements, as one of the photo features a tag from the brand attached to the white fabric.
Doja Cat even wore the look out on the rainy New York streets, sharing photos of herself and Gvasalia walking out of the store as assistants covered them with umbrellas.