The actress told OK!: "She really helped me out of my postnatal depression. I had a very interesting talk with her one night... She was very wise about life's bigger picture and when obstacles come up in our life it is for a very specific reason - they are there to teach us something that we haven't learned yet.
"She kind of made me see that my postnatal depression was an opportunity for me to change certain things about the way I was living and the way I was going forward."
Paltrow described Madonna as "one of the most caring women" and said the popstar often helps friends through difficult periods.
Paltrow appeared on The Oprah Winfrey Show earlier this week, where she revealed her inability to diet.