The Oscar-winning actress - who has been friends with her co-star for the past 10 years - has revealed the 47-year-old actor constantly teased her while they were shooting scenes, and even made her walk around as `South Park` character Mr. Hankey the Christmas Poo.
She explained: "You have to be very alert around Johnny because he likes teasing people and he does it when you least expect it.
"Johnny and I are both fans of `South Park` and the character Mr. Hankey the Christmas Poo. It`s absurd but very funny. Johnny made this outfit for me and we had a bet which I lost. And I had to wear the Poo outfit on the set.
"He was on the floor laughing and crying and he took a thousand pictures of me which I hope never come to light. But, of course, now that I`ve said it, I`m sure they will appear somewhere."
The 37-year-old Spanish star - who has a three-month-old son Leo with her actor husband Javier Bardem - has also revealed when she first went to the US to launch her acting career, she only knew two English phrases - one of which demonstrated how keen she was to eventually work alongside Johnny.
Penelope added to the Daily Mirror newspaper: "When I first came to America I only knew two phrases in English. One was, `How are you?` and the other was, `I want to work with Johnny Depp.`
"Then after I worked with him on `Blow`, I learned how to say, `I want to work with Johnny Depp again!` He`s very addictive and he just gets better and better over the years."