The two singers were spotted around 1:30 a.m. while walking past Parliament and Buckingham Palace, before heading into St James's Park.
The Coldplay frontman, 38, kept it casual in a baseball cap and dark jeans, while Kylie, 47, wore an oversized printed jacket.
Earlier in the evening, Kylie performed to a packed house at the British Summer Time festival in Hyde Park.
Martin, who split from Gwyneth Paltrow in 2013, is rumored to be dating “Hunger Games” actress Jennifer Lawrence, 24. Kylie is reportedly single.
Take a look at the pictures here.