The film's star Daniel Radcliffe arrived clutching an umbrella as fans' chants of "Harry, Harry, Harry" drowned out the sound of thunder.
He was joined by author JK Rowling, who said that it was "fantastic" to see the crowds of fans.
Harry Potter and the Order of the Phoenix opens in the UK on 12 July.
Rowling spoke of finishing the final book in the series, which is published on 21 July.
"Finishing it was very, very emotional," she said. "It's been a hell of a month. I'll want to know what the people in my house think of it."
Asked what plans she had for the near future Rowling said: "I'm looking forward to going on holiday."
Darker film
Radcliffe, 17, who was joined by his co-stars Emma Watson (Hermione Granger) and Rupert Grint (Ron Weasley), returns to the role of the student wizard, which he first played at the age of 10.
He admitted that the new film is darker than previous ones.
"Toward the end there's not many laughs to be had," he said. "While there's not actually direct comedy, there's some really heartfelt emotion."
Speaking of his first on-screen clinch with Katie Leung, who plays Cho Chang, he said: "She's a very good kisser."
Harry Potter and the Order of the Phoenix sees Harry bring together a group of apprentice wizards and witches at his Hogwarts school to battle a growing evil.
Advance orders
British director David Yates takes over the reins from Mike Newell, becoming the fourth director to be involved in the franchise.
Better known for gritty TV projects such as State of Play and Sex Traffic, Yates has already signed up for the sixth movie, Harry Potter and the Half-Blood Prince.
Nearly 1.6 million have already placed an order for Harry Potter and the Deathly Hallows - the seventh and final instalment - ahead of its publication.