Based on a Richard Yates novel, the film is about a couple attempting to live together away from the social constraints of 1950s America.
The movie, which also stars Kathy Bates, is directed by Winslet's husband Sam Mendes.
The actress recently described filming love scenes with DiCaprio for the movie as "weird".
"I just kept saying, 'This is too... weird'. And Leo was like, 'Oh, get over it'. And I'm going, 'Yeah, a little reminder: You're my best friend. He's my husband. This is a bit weird'," she said.