The funnyman, who has been friends with the singer since 2000 and is godfather to his daughter Apple, was part of the rock star's inner circle when he first started dating Oscar winner Gwyneth, and he recalls just how "confused" his mate was as his love life started making headlines.
"Gwyneth had been in the limelight for a long time, so she was much better at handling it," Pegg told Rolling Stone. "Whereas I think Chris found it extremely confusing.
"It was flattering that people were interested, but, at the same time, deeply disturbing that people would make s**t up or follow them around."
Chris wed Gwyneth in December, 2003, but the marriage only lasted a decade and the couple split in 2014. The stars were divorced last year (15), but remain the best of friends.
"I have a very wonderful separation-divorce," the rocker recently told Rolling Stone. "It's a divorce but it's a weird one. I don't think about that word very often. I don't see it that way. I see it as more like you meet someone, you have some time together and things just move through."
The former couple still hangs out together, even though the stars have both moved on to other lovers, and Gwyneth was spotted cheering on her ex as he performed with Coldplay at the Super Bowl half-time show earlier this month (Feb16).