Speaking to Harper's Bazaar, the actress described her co-star's transformation into his character Alexei Karenin as "the worst" because he was made to wear an unfortunate wig.
The hairpiece in question was designed to make Law appear bald and older, as his character is 20 years senior to Knightley's. He wore a hat while on breaks away from the set.
Knightley said: "No wonder he kept that hat on. [The make-up and wig] were the worst. Poor f**ker. I'd get to the end of the day, take my make-up and wig off, and I'd look s**t.
"He'd take the make-up and wig off and look f**king brilliant. And everyone would say, 'Oh yeah! Good-looking man underneath!"
Anna Karenina is released on September 7. Watch the trailer below: