The star plays a young Fox News producer in the critically acclaimed movie, and told Australia's The Herald Sun newspaper she didn't fully realise what sexual harassment was until reading the script.
"One of the lines that shocked me when I first read the script was that sexual harassment includes any unwelcome sexual advances," she said. "I didn't know what sexual harassment was."
The star confessed she "always thought it required physical contact for it to be considered illegal or wrong", adding that recognising harassment could also be verbal was what prompted her to join the film.
In the film, Margot plays Kayla Pospisil, a fictional character based on several women who gave accounts of working at Fox News, alongside Nicole Kidman and Charlize Theron, who portray Gretchen Carlson and Megyn Kelly, respectively.
"Bombshell" chronicles the real-life female Fox News employees who exposed CEO Roger Ailes' sexual harassment.