The Scottish actor has joined the cast of the upcoming project - which will be the pop star's first project as a writer and director since critically panned 2008 comedy 'Filth and Wisdom' - and will portray British monarch King Edward VIII in the movie.
Website ScreenDaily.com reports: "McGregor, currently starring in Roman Polanski's 'The Ghost Writer', will portray the British monarch who famously abdicated the throne in 1936 order to marry American divorcee Wallis Simpson."
The 38-year-old actor will star alongside Oscar-nominated actress Vera Farmiga - who will portray his screen lover Wallis - and Abbie Cornish, who will play a modern day character in the period movie.
Abbie recently praised the '4 Minutes' singer for the historical knowledge she has injected into the storyline.
She explained: "She's studied every aspect of what happened with Wallis Simpson and Edward VIII.
"It's a fascinating insight into class and romance. Madonna's created a contemporary woman - who I will play - called Wally, who is fascinated by what happened to Mrs. Simpson."
'W.E.' is still in pre-production and has no release date.