The Texan actor stars alongside Channing Tatum, Matt Bomer and Joe Manganiello in the film, which is about the world of male stripping.
In a recent interview with The Hollywood Reporter, McConaughey described thongs as a "huge leap of faith".
"It's your only protection up on stage," he explained. "When I first tried it on, my body contorted. And I tried to get myself into every position to see what angles I was covered."
McConaughey also spoke about a particular instance when, during a farewell to the ladies in the strip club audience, the women rushed the stage and ripped off his thong.
The Failure to Launch actor has several movies coming out this year. Along with Magic Mike, his new film The Paperboy has just received a late October release date.
Magic Mike is due for release on June 29 in the US and July 11 in the UK.
Watch a trailer for Magic Mike below: