The 33-year-old "The Theory of Everything" star said he was in New York when Caityln's, formerly known as Bruce Jenner before her transformation, Vanity Fair cover was released, reported E! Online.
"I was reading The New York Times, and all of the op-ed pieces that were being written about it. The dialogue was so rich and full, with everyone having opinions. Then I came back and saw the trailer for the film," he said.
Redmayne lauded Caitlyn for coming out and for being strong about her decision.
The actor will be seen playing painter Lili Elbe, one of the first known recipients of sexual reassignment surgery in 1930.
The movie is based on the 2000 novel of the same name by David Ebershoff and reunites Redmayne with his "Les Miserables" director Tom Hooper.
"The Danish Girl" also stars Alicia Vikander as Elbe's wife Gerda Gottlieb.