Jessica Hynes makes her Donmar debut in the production as Harper, alongside Aisling Loftus as Joan and Simon Manyonda as Todd.
WhatsOnStage's Sarah Crompton gave the show four stars, saying: "It's a tiny play, but an immense one. Chilling and thought-provoking."
The revival is directed by Lyndsey Turner and has design by Lizzie Clachan, lighting by Peter Mumford, sound by Christopher Shutt and casting by Anna Cooper.
Churchill's 2000 play starts with a small girl who wakes up to the sound of screaming. The Donmar is partnering with the London College of Fashion to create designs for the famous hat scene.