The King Kong star plays the lead in Oliver Hirschbiegel's upcoming drama Diana, which focuses on the last two years of the British royal's life before she died in a car crash in Paris, France in 1997.
Watts was photographed in character throughout the shoot, but she reveals the short bob she sported to portray the late princess was not her real hair.
She tells Britain's Marie Claire magazine, ""I loved wearing a wig to play Princess Diana in Diana. Changing my hair for roles is liberating, even if it's not always a look I'd go for.
""That style was emblematic of the time, but I'm not brave enough to go that short.""
Diana is due for release later this year (13).