The 'Glee' actress - who was dating her co-star at the time of his passing earlier on July 13 - reportedly "started screaming" after receiving the heartbreaking news as she spent some relaxing quality time with friends.
A source told People.com: "Lea started screaming, she was distraught. No one knew what to say. It was horrible. She couldn't believe it."
The 26-year-old beauty is said to have received a call from a close friend with the news who didn't want her to learn of the tragedy from anyone else.
A distraught Lea was then taken to a close friend's home in order to avoid paparazzi deluging her house.
The source added: "She needed to get out of her house, it was extremely emotional. So she left and stayed in the home of her friend."
Cory - who had been battling substance addiction in the final months of his life - succumbed to a deadly mixture of alcohol and heroin in a hotel room in Vancouver, Canada.
Lea joined Cory's family at a private cremation in Vancouver last week to say goodbye to her 31-year-old beau.
Her spokesperson said at the time: "Lea is deeply grateful for all the love and support she's received from family, friends, and fans.
"Since Cory's passing, Lea has been grieving alongside his family and making appropriate arrangements with them.
"They are supporting each other as they endure this profound loss together. We continue to ask the media to respect the privacy of Lea and Cory's family."