The movie, which is based on Richard Yates' 1961 novel with the same title, is directed by Kate's husband, Sam Mendes. He is also directed "American Beauty" which starred Kevin Spacey, and "Road to Perdition."
In a recent interview with E Weekly Magazine, Kate said she found some of the love scenes with Leonardo awkward to do, with her husband in the same room.
"I just kept saying, `This is too ... weird," the 32-year-old British actress said.
"And Leo was like, `Oh, get over it.' And I'm going, `Yeah, a little reminder: You're my best friend. He's my husband. This is a bit weird.'"
"I hadn't realized how much my chemistry with him since `Titanic' would still stick. It's great to discover we can just slip right into it, like muscle memory."
Set in 1955, the movie focuses on the aspirations and conflicts of Frank and April Wheeler, a couple living in Connecticut who see themselves as superior to their fellow neighbors.
They decide to move to Paris in hopes of finding meaning to their lives, instead, find themselves further from each other and themselves.
The film will be released on December 17 in the U.S.
"Leo and I have such a history together and I couldn't imagine not being able to apply that to this story and these characters," she added.