The 53-year-old star`s fascination with Wallis Simpson - the subject of her new movie `W.E.` - stemmed from her interest in English history, which she began to research when she first moved to London with former husband Guy Ritchie.
She said: "When I moved to England after I got married, I really didn`t have any friends. I didn`t know anybody.
"I found myself in a strange world and I decided that I was going to find out about the history and culture. So I started studying English history and reading about the monarchy.
"When I got to Edward VIII, I was transfixed by the idea that a man would give up such a powerful position for love.
"I started reading books about Wallis Simpson, and I found a lot of them to be really negative and one-dimensional.
"When women have some kind of power, and we don`t understand them, we diminish them."
Madonna related to Wallis a lot and thinks that made her the right person to direct the film.
She told Grazia magazine: "I think I had an insight into her character that possibly other directors wouldn`t have, because I know what it`s like to be reduced to a sound bite."