Here is the transcript from Kate's appearance on the Tonight Show with Jay Leno in early 1998. It was taped within a couple of days of the Golden Globe awards show. [I loved Kate's hairstyle.]

Jay: My first guest is an Oscar-nominated actress who is currently starring in the blockbuster movie 'Titanic.' This is a terrific film. This is her very first time on the Tonight Show. We are thrilled to have her. Please welcome the lovely Kate Winslet. [Kate enters to enthusiastic applause and cheers that don't die down quickly.]

Well, it's nice to finally meet you. [Audience still cheering]

Kate: Oh, my God! [To audience, jokingly] There are children at home going to sleep - be quiet!

Well, it's good to finally meet you. Are you a little nervous? I know you don't usually do these.

No, I'm fine now I'm out here. It's horrible when you're standing back there, though, and you get sort of introduced, and things, it's a bit nerve-wracking.

Congratulations. You got Best Picture at the Golden Globes. That's pretty exciting. [Applause] Now, did you have fun at the Golden Globes? Is that like a nerve-wracking event, or is it fun?

No, actually… I mean, the first time I went to the Golden Globes was a couple of years ago with 'Sense and Sensibility' and that was very, very frightening. But this time I was with Leo, and Leo and I are really great friends. [Girls in audience cheer]

Leonardo diCaprio?

Yes, Leonardo diCaprio.

Leo.

Well, everyone calls him Leo, actually. I mean, no one really calls him Leonardo.

Right, right.

And so we went together, which was great. But we were walking in and we were doing kind of the press line, and there were a couple of photographers who, I don't think, knew who I was. And one woman leapt forward and she said, [Kate imitates American accent] 'Ah, ma'am, can we have your name, please?' And I said, 'yes, it's Kate Winslet.' And she went, 'aaaaah,' like that. [Laughter from audience] And so, I felt really sorry for her cause her face just fell to the floor. But, um, no, it was fun, it was a really fun night. And it was so nice to be there with everybody, cause, I mean, obviously, being at home in England, I don't really see them all now.

I wouldn't think you'd see that many... I mean, was that the first time you've been in a room with that many stars? I mean, who did you meet? Who did you meet? Anybody you met for the first time?

Well, for the first time I did meet Daniel Day-Lewis, which is just…

Oh, he's great, yeah, yeah.

He's such a wonderful actor. I was introduced to him, and I was really, sort of, surprised. Because I was all ready to say, you know, 'thanks for all the inspiration you've ever given me, and I just think you're fantastic.' And he immediately turned round to me and said, 'Ah, you know, you're so great, and it's so wonderful to meet you.' And I'm thinking, 'no, no, no, no. You've got it all wrong.' And it was the same with Julia Roberts. She came up and said some really lovely things, as well. And I just thought, 'but you're Julia Roberts, and this is just not what was really meant to happen here.'

And it was, ah… it was really flattering, actually, to sort of find that that was the case.

Well, sure. This is… I think this movie will be like 'The Wizard of Oz.' I mean, I think people will watch it, like, every year. I mean, it seems to be huge. [Audience laughs] I mean that in a good sense.

It is absolutely extraordinary. And it is bizarre to me, cause I was at home…

People are laughing - 'The Wizard of Oz' - like you're the witch, or something. I don't mean that.

No, I'm Dorothy, you know. No, it's very exciting for me to come over here and feel this whole sort of buzz about the film, because it hasn't opened at home yet. And, you know, it's so big and epic and exciting.

It seems like it would be a very tough shoot. Like in 'Sense and Sensibility,' ooh, aah, hello… [Audience laughs]

Exactly. The most stunts I'd ever done myself was throwing myself repeatedly down a grassy verge.

Oh, that's right - when you roll down the hill.

Yeah, when I meet Greg Wise - Willoughby - in the movie. And, obviously, this was slightly different. So, yeah, I mean it was hard at times. But, at the end of the day, you know… I kind of walked away with immense feelings of exhilaration, you know. Cause you think, 'God, I did that.' And it wasn't until afterwards that you sometimes think, 'God, that was quite scary, and it was really cold,' and all of those things.

Did you ever feel in any danger? I mean, it actually looked dangerous to me. I mean, with that much water coming in…

That's the power of the movie making business. No, sometimes it did feel really, really frightening. And there were times when I felt, 'I can't do this again, I'm gonna drown.' And there was so much water. But, um, actually, it was incredibly safe. I mean, there were safety hatches in the ceilings, and there were divers under the water sort of untangling my shoes from my dress. And there was one scene when Leo and I are trapped behind some iron gates, and as we get through, we're supposed to go through fantastically smoothly and escape. But, take after take, the coat that I was wearing kept getting jammed in the gates, and that was quite frightening, cause it was really pulling on it. So, poor Leo is trying to act his way through, and at the same time pull my coat out from the gate. And it was sort of a cross between wanting to laugh and wanting to sort of scream, all at the same time.

How about the love scene? Now, the love scene was ah, pretty… Was it fun to do? Do you like doing… Was it fun doing those scenes with Leo?

I sit back, and I look at that love scene, and I think, you know, 'we look so sweet, and serene, and calm, and in love.' And it really was a very different story. We were cramped into the back of that car. [Audience laughter] And the seats were very, very fluffy. And we had all this glycerin to make us look all sweaty and…

Now, they put that all over you?

Yeah, yeah, all over us, and it was really horrible. And the fluff kept sticking to our skin. And then I had his makeup, which was all this tan makeup, on me. And he had all my white makeup on him after every single take. So, I had this big, brown patch on my nose, which looked like I had my nose shoved up somebody's backside. [Lots of laughter and cheers from audience]

You know, I must say… You know, you've changed the whole film for me!

Have you been there, Jay? Have you been there? Do you know what I'm saying?

Well, we have a clip. But, you know what the most amazing thing is? I didn't want the ship to sink. Cause I thought it would be like, 'yeah, yeah' get to the ship sinking.' You know. And then I said, 'oh, no, you can't let these people die!'

I know. I mean, that was the thing that, for me, when I first read the script, I was… I mean, I cried my eyes out. And I read it on a plane with Emma Thompson, and I fell asleep, and said, 'oh, you've got to read this.' I was so exhausted. She… the same reaction - she cried her eyes out, and she said, 'you've got to do it, babe, you've got to.' I said, 'I know, I know.' And, obviously, that was the thing that I was hoping was really gonna come through. And Leo and I and Jim, together, worked so hard at the whole love story.

Let's show the scene from 'Titanic.' [He presses a button, and a screen rises up from just behind their seats.]

Oh, my God, isn't that frightening?! [Her reaction causes laughter] No one told me that was gonna happen.

Well, there you are. Let's take a look - here we go. [Scene of Rose and Jack in flooded corridor, trying to rescue boy] A wonderful job!

I have to say that it is the bizarrest thing for me to sit back and… I'm used to seeing myself on screen. I'm sure you're used to seeing yourself on screen. But you sit back and I'm watching this big, huge epic thing, and I'm thinking, 'I can't believe I did that! I can't believe that's me.' It's a very odd feeling.

Well, it's a wonderful, wonderful job. And, listen, congratulations on all your success. Thank you, Kate.