The 39-year-old actress first worked with the actor 20 years ago on "Sense and Sensibility" and was convinced he thought she was "rubbish".
She says she was glad she had a much more pleasant experience when he recently directed her in "A Little Chaos", reported OK! magazine.
"It was wonderful having Alan direct. We all benefited from his understanding of actors and how we're all a bit funky sometimes and we can whinge and whine a bit," Winslet said.