The British actress, 41, is currently promoting The Mountain Between Us; a romance-disaster film in which she stars alongside Idris Elba.
The two survive a plane crash and find themselves stranded in High Uintas Wilderness amidst perilous weather conditions.
Much of the filming took place in dangerous conditions in Canada, with Winslet telling E!: “I was having Titanic flashbacks… I was probably more of a wuss, if I’m honest.
“This was much harder because we really were at 10,000 feet, we had to look after each-other, and acting in that level of cold…
“You take your gloves off for a second and it takes ten minutes to get the circulation back. It’s difficult working in those conditions.”
Asked if DiCaprio sent her any advice, after he worked in extreme conditions for The Revenant, she said: “We did speak before and he said, ‘you’re crazy – do you know what you’re setting yourself up for?’
“I did send him pics of me in the freezing snow, saying ‘thinking of you’, and he’d send back worried-looking emojis.”
Dermot Mulroney and Beau Bridges also star in The Mountain Between Us, which is due out later this year.