The images feature the 40-year-old actor looking scruffy while wielding a gun, reported Entertainment Weekly.
The movie tells the story of DiCaprio's fur trapper character named Hugh Glass who is mauled by a Grizzly bear in the 1800s.
His unfortunate situation doesn't stop there as he is then robbed and left to die in the cold by some men who are enlisted to stay with him. Glass eventually makes miraculous trek to go back to civilisation to find the men and seek revenge.
Filming has started in Calgary and will continue through April.
"It's a fun ride," said the director who is up for Best Director trophy at the upcoming Academy Awards.
"It's a very experimental thing that we're doing here... I'm now addicted to doing things that can fail horribly or maybe that can give us a surprise. We are all into it."
Innaritu also praised DiCaprio. "He's a brave, incredible actor. I'm so surprised about how good he is," he told the magazine. "I think there's a profound understanding of humanity that I can see through his eyes."
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