DiCaprio, 39, and his co-stars Jonah Hill and Margot Robbie were in Leicester Square to launch the Martin Scorsese-directed film.
It stars DiCaprio as corrupt New York stockbroker Jordan Belfort and charts his rise to power fiddling the stock market on Wall Street - and then his downfall once his crimes were discovered.
The Great Gatsby actor said of Belfort, who co-wrote the film based on his own book: "The truth is that Jordan Belfort wrote this as a cautionary tale - he's a much different person right now.
"Since then, he's done seminars and lectures to groups about how you can take the wrong path in Wall Street.
"What I appreciated about him and my communication with him was, he was very honest and forthright about what he did wrong and most of the time his intentions were even worse."
DiCaprio added: "So when you're dealing with someone who's that forthright, it makes for a more honest portrayal of this world and these people."
Robbie, 23, who plays Belfort's now ex-wife Naomi Lapaglia, said of DiCaprio: "It was really wonderful to work with someone so experienced, he was always so lovely."
The Wolf Of Wall Street is released in cinemas on Friday January 17.