The couple, who got engaged in January last year after two years of dating, held hands as they left the swanky venue following the star-studded event.
Megan, 37, ensured all eyes were on her for the bash as she donned a strapless white dress with a low cut neckline that highlighted her incredible figure.
The Transformers actress showed off her toned pins in the skintight garment while she added height to her frame with clear heels.
Carrying a matching handbag, Megan styled her dyed red locks into a loose bob for the festivities.
Kelly, 33, whose real name is Colson Baker, showed off his rock star sense of style in a black leather jacket and matching trousers.
The musician also wore a black vest top and drew further attention to his look with several silver necklaces.
The outing comes after Megan appeared to describe suffering a devastating miscarriage with Kelly in her new book of poetry Pretty Boys Are Poisonous.
In the book Megan writes about an ultrasound of a baby girl at 10 weeks and a day, per excerpts from People, and says: ‘maybe if you hadn’t… maybe if i had…’
She continues, ‘I want to hold your hand / hear your laugh, but now / I have to say / goodbye,’ and later adds, ‘I close my eyes and imagine holding you tight against my chest as they rip you from my insides’.
Elsewhere in the book, she writes, ‘I will pay any price. Tell me please / what is the ransom / for her soul?’
The actress said she had ‘never been through anything like that before in my life’, as she opened up about the experience and about writing the book during an interview on Good Morning America on Tuesday.
‘It was very difficult for both of us,’ she explained. ‘And it sent us on a very wild journey together and separately, and together and apart, and together and apart, and together and apart, trying to navigate, “What does this mean? Why did this happen?'”
Megan told how it was Colson who first encouraged her to take pen to paper.
‘The person who actually told me I should write a poetry book is Colson,’ she shared.
‘It was something inside of me that had to come out or else it was going to make me sick. Some of it is definitely a metaphor.
‘None of it is what I would say fictional. Those are all real life experiences that I had.’