The media mogul produced and starred in the big screen adaption of Toni Morrison's spooky novel, alongside Danny Glover and Thandie Newton.
However, the $80 million (£53 million) movie pulled in just $22 million (£14.6 million) in takings - and Winfrey was hit hard by the negative feedback.
Speaking on the first episode of new U.S. talk show Piers Morgan Tonight, she says, "I don't want to call it a turkey, but it didn't work, and it sent me into a massive, depressive, macaroni and cheese-eating tailspin - literally!
"It was the only time in my life that I was ever depressed, and I recognised that I (was) depressed because I've done enough shows (on the topic). 'Oh, this is what people must feel like who are depressed.'"
The picture was beaten in the box office chart by Bride of Chucky when it was released, a film Winfrey had never even heard of.
She adds, "Beloved premiered on a Friday night and I remember hearing on Saturday morning that we got beat by something called Chucky. I didn't even know what Chucky was."
The full interview is set to air in the U.S. on Monday (17Jan11).