The 13-year-old, billed as Lola Leon in the film credits, was spotted on the set shooting in a school uniform, according to reports.
It’s not known yet exactly what part she’s playing and how big her role will be.
Before she changed into her costume, Lourdes had joined her mother on the shoot with brothers Rocco and David to see what progress was being made yesterday.
Madonna was shooting in Mayfair outside hotel Claridges, as well as outside a makeshift Downing Street located in Aldwych.
W.E, Madonna’s second film as a director, tells the story of Edward VIII’s relationship with Wallis Simpson.
The $30 million film, currently being shot in Britain and France, intersperses Edward’s affair with the American divorcee with a love story set in 1998.
Madonna’s first film Filth and Wisdom was met by negative reviews when it was put on limited release two years ago.