Anderson told Meyers, "Olivia (Colman) apparently does a dance class in the area that she lives with a bunch of friends, on a regular basis, and the last time she did the class, they had danced to that Lizzo song."
The star went on to explain that Colman asked the rest of the cast if they would be interested in doing the dance and letting her video it.
"And then she would just share it only with her friends – the other dancers. So it was never meant to see the light of day," she admitted.
Meyers was quick to point out, "And yet, here we are."
And while the show's host went on to heap praise on the cast's performance, Anderson joked in return that the video was "so humiliating".
And she pointed out her expression in the video was one of "such delight and shame all at once".
"I would like to say both that I think you did a better job than Margaret Thatcher would have done, and also acknowledging that I think that's a pretty low bar," Meyers replied.
Anderson and Colman brought two of Britain's most famous female figures to life in the fourth season of The Crown.
Colman is set to be replaced by Imelda Staunton in the role of Queen Elizabeth II in the next season.
