The president’s former Democrat rival brandished the distinctive Ushanka headgear in an apparent dig at Mr Trump over the ongoing investigation into Russian interference in the 2016 presidential election and possible links between his campaign and the Kremlin.
During Sunday's speech, Yale alumna Ms Clinton referred to the university's tradition of wearing outlandish hats on graduation day – explaining she had decided to join in.
“I see, looking out at you, that you are following the tradition of over-the-top hats so I bought a hat too. A Russian hat,” she said, prompting raucous applause from the audience as she raised the furry garment aloft.
In case anyone was in doubt about what she was referring to, the former secretary of State, unexpectedly vanquished by Mr Trump in 2016, added: “If you can't beat them, join them.”
Ms Clinton also used the speech to address her defeat and explained she still had not come to terms with her loss.
"No, I'm not over it. I still think about the 2016 election. I still regret the mistakes I made,” she said. “I still think, though, that understanding what happened in such a weird and wild election in American history will help us defend our democracy in the future."
The former First Lady argued American politics was becoming increasingly polarised and appeared to refer to Mr Trump without mentioning him by name.
“The radicalisation of American politics hasn’t been symmetrical. There are leaders who blatantly incite people with hateful rhetoric,” she said.
"Waging a war on the rule of law and a free press, de-legitimizing elections, perpetrating shameless corruption, and rejecting the idea that our leaders should be public servants undermines our national unity.”