The singer is said to see similarities between herself and Simpson, The Sun reports.
King Edward VIII abdicated the throne in 1936 so that he could marry Simpson, who has been played by Faye Dunaway, Cynthia Harris and Joely Richardson in past dramatisations of her story.
A friend said: "Madonna sees Wallis Simpson as her next big film project. She is as passionate about it as she was about playing Eva Peron in Evita.
"Madonna said she is fascinated about this American commoner who refused to conform or offer explanations for her tangled love life."
The friend claimed that the film was being planned before the star's divorce halted proceedings, but said that Madonna is now keen to restart the project.
Last week, a naked photograph of the 'Miles Away' singer sold for $37,500 (£26,100) at an auction at Christie's.