Paltrow, 35, told the talk show host that she was surprised to suffer from depression after the birth of her of second child, Moses, now 2, since there wasn't a problem after her first child was born.
"After I had Apple, I would characterize it as postnatal euphoria," the New York Daily News quoted her, as saying on the show.
"I was on cloud nine. I was in a bubble, and then when I had [Moses] I didn't feel okay," she said.
It took six months for her to feel normal again.
"Once I started exercising, I was doing cardio and I felt like I had to get rid of stuff," Paltrow said.
"I started recommitting to eating well, because when I was pregnant I was eating donuts," she added.
The stunner revealed that she lost the baby weight with the help of Madonna's trainer, Tracy Anderson, who's seen sweating alongside her in the video.
And the Material Girl herself gave Paltrow a boost during her depression.
"She is one of the most caring women and also a very tough woman. She's given me a lot of great advice. She really helped me out of my postnatal depression," Paltrow said.