The story features flashbacks to the love affair between Edward VIII and Wallis Simpson - the Duke and Duchess of Windsor after he abdicated the throne of England - in the 1920s and 1930s.
The singer co-wrote the film and will be in the director's chair when shooting begins this summer, and she has been forced to call in favours from all her designer pals to ensure she accurately portrays the fashions of the period.
She tells Interview magazine, "I didn't realise it when we were writing the script, but once I started casting and planning and working with my production designer, I went, 'Oh, f**k. I wrote a script about a bunch of rich people. That's going to be great for the budget.'
"The Duchess (of Windsor) has, like, 80 costume changes. She was dressed by Balenciaga and Christian Dior and Vionnet and Schiaparelli. A lot of the actual stuff is in museum archives (and) they're not going to give it to me."
But Madonna has found a way to get her way, she explains, "A lot of these couture houses have offered to make stuff for me.
"Just the costumes alone are pretty daunting because the Duke and the Duchess (of Windsor) were both real clotheshorses. It'll be a combination of real vintage pieces; others we'll get remade based on patterns that have been dragged out of the archives, and then new stuff we'll make.
"Next time, I'm writing a movie about one person in one place who has no wardrobe!"