The 35-year-old actress has shed her long locks for a bob cut in order to play Hope Van Dyne, the daughter of physicist Dr Hank Pym (Michael Douglas), reported MTV online.
"How's my new do?" Lilly asked her Instagram followers.
Lilly also shared a photograph of her first day on the set with co-star Paul Rudd, who portrays future superhero Scott Lang.
The fist official picture of Rudd as Scott Lang was released by Marvel Studios earlier this week.
'Ant-Man' sees petty thief Scott Lang using shrinking technology developed by Dr Hank Pym in an attempt to turn his life around.
Also Read
They will be opposed by the mogul-turned-villain Yellowjacket, who is being portrayed by 'House of Cards' actor Corey Stoll.
Marvel confirmed earlier this week that John Slattery, TI, Bobby Cannavale, Michael Pena, Judy Greer and Gregg Turkington have been added to the film.
'Ant-Man' opens on July 17, 2015 in the UK and the US.