Yorgos Lanthimo, of "The Lobster" fame, will helm the historical drama written by Deborah Davis and Tony McNamara.
"The Favourite" follows the political machinations behind the scenes during the reign of Queen Anne, the last monarch of the House of Stuarts, reported Deadline.
In the film, Colman would play the queen; Winslet would play her close friend Sarah Churchill, Duchess of Marlborough; and Stone would play Abigail Masham, the duchess' upstart cousin.
The story takes place between the end of the 17th century and first years of the 18th century, when Anne reigned from 1702-1707. It follows the shifting balance of power between the lead characters as they jockey for influence.
Colman, 41, is best known for playing DS Ellie Miller in the crime series, "Broadchurch".
Winslet, 39, will be next seen in "Steve Jobs" while Stone, 26, will star opposite Ryan Gosling in the comedy-drama "La La Land".