The 36-year-old actress unveiled her blond hair-do in May, reported New York Post online.
"I dyed my hair blond because I wanted to feel better about myself. I do like it blond but it doesn't make you happy," Gyllenhaal said.
The actress, who has since gone back to being a brunette, added, "The truth is... It was a long hard winter and I thought, maybe this will change my life. But it never does. I should know that by now, I am 36."