The script didn't call for Gyllenhaal to cry, but the actor felt a great sadness as he heard the song his father used to play him when he was a kid - and the tears began to flow.
Luckily, Irishman Sheridan kept the cameras rolling and caught the magic moment.
Gyllenhaal, who selected the tune among his favourites for an upcoming Los Angeles radio show appearance, tells KCRW presenter Liza Richardson, "During rehearsals, he (Sheridan) would play it (song), and then he would play it on set too to get us in the mood of the scene... and there’s this scene in the film where my brother has died and I am with his wife.
"We’re sitting together in front of a fire and we end up kissing at the end of the scene... and Jim decided to play this song, play The River.
"He kept the music rolling and Natalie Portman, who plays my brother’s wife in the movie, she leaves the scene. Jim kept the film rolling on and on and on and I just kept listening to this song and, by the end of this take, I just start to cry and cry; I couldn’t stop crying.
"I think a lot of it has to do with its connection to my family; listening to Bruce Springsteen when I was a kid with my dad. My first concert I ever went to was the Born in the USA tour concert and I remember being with my father.
"I just think the story between father and son and the complications between those two positions in a family has always been a huge thing in my life. That’s also the heart of the movie I was making with Jim Sheridan."