The 27-year-old British actress, who began dating the handsome star when they met on the set of 'Alfie' in 2004, revealed the romance was the first time she had been consumed by love.
She said: "One day I was completely anonymous, the next day people were outside my apartment. It was quite intense but initially it didn't feel aggressive or scary. I was so in love. It was the first time I had really been Crazy In Love like that, just intoxicated by it, so every experience I was having was wonderful.
"It was a complete whirlwind, the most exciting time of my life."
Sienna and Jude got engaged on Christmas Day 2004, but split the following summer after Jude admitted having an affair with his children's nanny.
The blonde beauty - who was born in New York to an American banker father and English model mother - has also claimed people don't like her because she was raised by wealthy parents.
Sienna told Britain's GQ magazine: "I've been privileged. I think that is something that people don't like about me - I'm not rags to riches.
"My dad was really smart and made some money and I went to private school and all those kinds of things."