Naomi Watts has arrived in Croatia to start filming her new movie, Diana, in which she plays the late princess.

The film, directed by German director Oliver Hirschbiegel, focuses on the last two years of Diana's life before her death in 1997.

Speaking on the red carpet at this year's Cannes Film Festival in May, the Australian actress said the prospect of taking on such an iconic role was nerve-wracking.

"I haven't really, sort of, dealt with it yet, but it's definitely rising. And it's very scary, a big undertaking," she said.

The movie is set for release in February next year.