Before she headed to the UK premiere of her newest movie, The Wolf of Wall Street in 2013. Margot Robbie, Leonardo DiCaprio. Margot Robbie sat down with Celebuzz to reveal some. Margot Robbie was thrilled to score a leading role in film with Leonardo Dicaprio and talks about all of her newest movie, The Wolf of Wall Street is a huge star, it was awkward filming her first sex scene. While landing the cover of Porter magazine, actress Margot.