W.E, which began filming on Monday, tells the story of Edward VIII's wife Wallace Simpson. Madonna has co-written and will direct the movie, reports BBC News.
James Fox will star as King George V. Lewis star Laurence, who is married to Billie Piper, will appear as his son Bertie, Edward's younger brother.
It was recently confirmed that Piper's Secret Diary Of A Call Girl co-star James D'Arcy would take on the role of Edward.
The movie will be Madonna's first feature-length production after she previously directed short 2008 short Filth and Wisdom.