The actress, who plays Daenerys Targaryen in the hit show, said she thought she was dreaming after the pop queen got in touch with HBO with the odd request.
'I thought I was dreaming,' Emilia told Jimmy Fallon on The Tonight Show. I got an email [from HBO's publicity department] asking 'Madonna wants to borrow the costume is that ok?' I was like 'I must be dreaming.'
Madonna asked to borrow the star's costume, which consists of a blue and gold floaty dress and edgy black corset, for a party she attended over the Jewish Festival of Purim, and of course the TV channel obliged.
The star took to her Instagram account to show off her dressing up skills. Posting the snap alongside the caption: 'Happy Purim!!!!!! All Hail All Queens! ##certainty.'
She even wore a long blonde wig to finish off her look, which seemed to get endless praise from the cast of the hugely-popular show.
Carice van Houten, who plays the Red Priestess in the popular HBO show, joked: 'I was like, 'Why's she not wearing the red dress, man?' No, I completely get it. It's such a great honour for my youth idol to dress up like someone that I'm working with.'