The Australian actress, 28, played Naomi Lapaglia in the 2014 movie, and recalled the "embarrassing" scene in which she tries to seduce husband Jordan Belfort, played by DiCaprio, in their young daughter's nursery.
During the provocative scene, Margot's character is seen touching herself and calling her husband "Daddy".
In an interview with Porter magazine, Margot confessed she had to dig deep to film the steamy scene in front of 30 male crew members.
"It doesn't come across when you're watching the movie, but in reality we're in a tiny bedroom with 30 crew crammed in. All men," she explained. "For 17 hours I'm pretending to be touching myself. It's just a very weird thing and you have to bury the embarrassment and the absurdity, really deep, and fully commit."
Bringing warmth, magic and escape to our cold winter days PORTER's Winter Escape issue fronted by Academy Award-nominated actress @MargotRobbie is here. Read the exclusive interview now: https://t.co/vYmPzX4eRY
PORTER’s Winter Escape issue lands on global newsstands 7 December. pic.twitter.com/AmH4kAOwpy
— PORTER magazine (@PORTERmagazine) November 30, 2018
During the interview, the Oscar-nominated star opened up on her marriage to Tom Ackerley, who she wed in December 2016.
"Being married is actually the most fun ever, life got way more fun somehow. I have a responsibility being someone's wife, I want to be better," Margot gushed.
She also sweetly revealed that they never go more than three weeks apart.
"Even if we both have to fly to a country in-between where we both are for one night, we'll do it and then fly back to work the next day," Margot explains. "And we speak all day, every day on the phone."
However, the couple is reluctant to hear the pitter patter of tiny baby steps any time soon.
"If I'm looking into my future 30 years from now, I want to see a big Christmas dinner with tons of kids there. But definitely not at the moment. That's 100 per cent certain," she laughed.