The 50-year-old Emmy award winner said she was scared by the presents sent by Leto, who plays Joker in the movie, reported Digital Spy.
"It was a little worrisome. It made me a little bit nervous and I'm pretty tough. You know, I got into a few fights when I was growing up... But it scared me a little bit," Davis said.
Leto notoriously sent a range of inappropriate gifts to his cast mates including a live rat to Margot Robbie, adult magazines to Adewale Akinnuoye-Agbaje and a dead pig to whole team.
"Before that I was only introduced to The Joker....And I almost had my pepper spray out. You know, 'You remember that bullet you sent me?'"
"Suicide Squad" will hit the screens on August 5.