"I had a good relationship with the horse, which was named Scout, and when I look at the tape I can see that Scout saved my life.
"I went down badly and I was dragged for 25 yards and in the end the horse just jumped over me and clipped me with his back legs."
Depp's co-star Arnie Hammer has also revealed his own near-death experience on the set of the film.
Hammer, who plays the titular hero Lone Ranger in the film, said he needed to overcome his nerves for a scene in which he stood on top of a rickety platform overlooking a 600-metre cliff.
Hammer was tethered by a piece of rope for five hours until producers got the perfect shot.
He said his only thought was, "I'm gonna die ... Oh good there's a helicopter. And now it's swaying. Definitely gonna die.
"Oh, I didn't die. Great. Oh we're going to do it again? I'm gonna die, I'm gonna die.
- AAP with Bang! Showbiz and nzherald.co.nz