The 44-year-old actress plays the lead in Oliver Hirschbiegel's upcoming drama which focuses on the last two years of the British Royal's life before she died in a car crash in Paris, reported Contactmusic.
Watts was photographed in character throughout the shoot, but she said that the short bob she sported to portray the late princess was not her real hair.
"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," Watts said.
"That style was emblematic of the time, but I'm not brave enough to go that short," she added.