The Hollywood star was chatting about the biopic, in which she plays Diana, Princess Of Wales, on BBC Radio 5 broadcast, reported Contactmusic.
Host Simon Mayo took to his Twitter page to tell fans about the encounter, admitting he had no idea what he had done to offend Watts.
"A first for me... As Naomi Watts walked out of an interview! She seemed a tad uncomfortable with the questions. Shame," Mayo tweeted.
The interview will be aired next week.
"It's for next week I think. (Director) Ron Howard this week. He stayed for the full interview... The honest answer is I have no idea (how I upset Watts). You know my hectoring style is always a problem... Didn't express any opinion (about the film). So still baffled," Mayo added.
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