The model pals posted photos of themselves on social media from their evening, with Jenner wearing just Calvin Klein knickers and a towel on her head.
Holding her phone in one hand and a glass of red wine in the other, the reality star strategically covers her modesty with her arms.
She captioned the cheeky snap: “Bone-dry”.
Meanwhile, Baldwin took a soak in a bubble-filled tub for her shot, holding her own glass of red wine.
Alongside the image posted on Instagram, she wrote: “BIG MOOD”
The best friends have only recently got back from the Cannes Film Festival, where they rubbed shoulders with some of the hottest stars of the big screen at parties.
Baldwin, 21, has been romantically linked to Shawn Mendes after they attended the Met Gala together earlier this month.
Baldwin wore a silver off-the-shoulder dress, with metallic heels and a flower crown to complete her look while Mendes wore a burgundy suit.
Rumours of a romance have circulated since late last year when they were spotted at a Halloween bash. Mendes then posted a rare snap of the two in April.
However, the pair didn’t walk the carpet at the Billboard Music Awards together last weekend.