"And he went, 'Is that your real hair?'" Headey continued. "And I went 'Yeah' and he said, 'The wig is much better. I like you as a blond.'"
Headey wears a blond wig to play Lannister on the show, but is a brunette in real life.
"I was like, 'OK.' I was just crushed," she continued. "How is that all right to say?"
Headey has made headlines in recent months for speaking out about creepy and unwanted behaviour she's experienced from men in the past.
Last year she opened up about an alleged disturbing experience with Hollywood mogul Harvey Weinstein in a lift — claiming when she rebuffed him, he warned her to keep her mouth shut.
After hitting on her, "he whispered in my ear, 'Don't tell anyone about this, not your manager, not your agent.' I got into my car and I cried," Headey claimed on Twitter.
The British-born star, 44, has also spoken up about the sexism she experienced as a young actor trying to gain a foothold in the industry.
"When I was in my 20s, and doing a lot of audition tapes in the States, a casting director told me: 'The men take these tapes home and watch them and say, 'Who would you f***?'" she revealed.
"I'm happier now I'm older, playing women who aren't expected to be beautiful. That pressure has gone for me. (Male) actors can be 'interesting', but there's a real pressure on women to be beautiful and skinny."