The actor told Sky Magazine that the show's director Todd Haynes gave the cast specific advice to follow when filming love scenes.
Pearce said: "It's really about choreographing things. 'So I'll be on top of Kate, then we'll kiss?' I'd ask.
"Todd would say, 'I'd love for you to roll over, and I'd love Kate to be on top. Then I'll have the light coming through the window and it will look lovely'.
"And Kate went, 'Yes, but I don't want my breasts showing'. It's all very technical, but there's this part of your mind going, 'This is really erotic and strange'."
Winslet has previously admitted that she hates stripping off for sex scenes, but later said that she looked good naked in her Oscar-winning performance in The Reader.
Co-star Evan Rachel Wood said that Winslet gave her advice and encouragement before she filmed her own nude scenes in Mildred Pierce.
> Guy Pearce: 'Sex scenes are embarrassing'
Watch the 'Mildred and Her Men' HBO clip from Mildred Pierce below: