The 27-year-old put on a brave face as she filmed for the upcoming Glee series in New York on Monday and looked beyond stunning in a purple mac.
Before his shocking death this summer Cory had struggled with substance abuse problems and been to rehab twice to treat his addiction.
Lea stood by him when the young star checked himself into a treatment facility in late March of this year.
"I love and support Cory and will stand by him through this," Lea said in a statement to People magazine. "I am grateful and proud he made this decision."