The Aussie beauty plays a woman obsessed with the love affair between King Edward VIII and Wallis Simpson in the film and Madonna insisted the character should wear her jewellery.
Madonna was loaned gems from Cartier for Andrea Riseborough's Simpson to wear in the movie, but she brought her own collection of treasures in for Cornish to wear during the shoot.
Cornish tells Britain's The Sunday Times Style Magazine, "She would bring a box of her own jewellery and handpick stuff for me to wear. Almost every piece I wear in this film was hers. Cartier and Bulgari earrings, necklaces, bracelets. She has an incredible collection.
"I wore both her wedding rings from her marriages to Sean Penn and Guy Ritchie. They were beautiful - white gold and diamonds. Every morning she'd bring them in and I'd put them on. It was nice to have that ritual and feel connected to her."