The Wolf of Wall Street star explained to his host that the incident took place while he was filming Blood Diamond in 2006. "I actually got stuck in a cage with a great white, which was awesome," he said with a smile.
"It was a gigantic great white. It was in the cage with me," he added. "They actually said, 'In 30 years this has never happened'.
"The tuna kind of got stuck on the top of the cage, and the great white leapt out and tried to bite it and went into the cage with me. Half of its body was in and out, and I'm flattened down at the bottom. It was this far away and it chomped a few times, but I survived it."
The star was under no illusion as to how lucky he was. "It was absolutely terrifying," he admitted.
Despite his encounter, Leo is an outspoken animal activist, supporting schemes that help protect sharks and other predators.
But it was his new film, Wolf of Wall Street, which he appeared on Ellen to promote. Leo explained how he was initially drawn to the role, which has him tipped for his first Oscars win.
"I was fascinated by this book," he said of the real-life story. "I mean Jordan Belfort (the author) looks on this as a cautionary tale. He's sort of reflecting on his wild debaucherous hedonistic days on Wall Street where he was sort of consumed by greed and access.
"He was so candid and honest about it and I really wanted to put this up on screen."