Despite the freezing temperatures of -8 degrees Celsius, the singer opted for a bizarre ensemble of Gothic bride-meets-military.
The tiered floor-length open-fronted dress revealed the star's bra and her sky-high platform heels as she teetered through the city's Vnukovo airport.
The 26-year-old's arrival in the Russian capital came as she revealed she would be supporting the Rolling Stones for their final New Jersey gig.
Gaga, Bruce Springsteen and The Black Keys will be opening for the veteran rockers' final 50th anniversary comeback tour date at the Prudential Center on Saturday.
Following her arrival, she thanked Russian Prime Minister Dmitry Medvedev for defending gay rights.
She tweeted over the weekend: 'Thank You Prime Minister Medvedev for not standing by your party's anti gay propaganda law & instead supporting my show + fans all over Russia.
'Prime Minister Medvedev please accept my gratitude I am looking forward to performing in RUSSIA & celebrating our cultures coming together.'