We present an algorithm for computing the Lyndon factorization of a string that is given in grammar compressed form, namely, a Straight Line Program (SLP). The algorithm runs in $O(n^4 + mn^3h)$ time and $O(n^2)$ space, where $m$ is the size of the Lyndon factorization, $n$ is the size of the SLP, and $h$ is the height of the derivation tree of the SLP. Since the length of the decompressed string can be exponentially large w.r.t. $n, m$ and $h$, our result is the first polynomial time solution when the string is given as SLP.