"I cried the whole way," he told AccessHollywood.com. "I was the crazy boy on the plane crying at about midnight, landing in London."
Madden also told Rolling Stone the atmosphere on set during filming was "horrible", with many actors breaking down.
"It was really difficult day for everyone. There was lots of tears from many people, including myself. The way it happens: Robb Stark with his dead queen in his arms and her stomach ripped open and blood pumping out of that, his mother getting her throat slit . . . it was a really disturbing day."
He wasn't the only one who struggled to keep his emotions in check after watching 'The Red Wedding'.
Fans reacted in horror at seeing three central characters killed off in the episode screened in New Zealand on Monday night.
A compilation posted on YouTube shows the horror many viewers felt watching the episode.
The 'Red Wedding Tears' Twitter account catalogues the most extreme reactions from grieving Thrones fans.
Many vowed never to watch the show again, while others reserved their anger for author George R.R. Martin, who wrote the book series Game of Thrones is based on.
Patrick Fournier said: "I HATE GAME OF THRONES!!!!!!!!!!!!!!!!!! Why would they do this to me????? :( :( :( :( :( :( ..... i'm never watching it again!"
Twitter user @ManayerAbd said: "GAME OF THRONES WHAT THE HELL IS WRONG WITH YOU! YOU SICK HEADED AUTHOR YOU DON'T THINK NORMALLY I HATE YOU."
Martin has been on the receiving end of those kinds of reactions since the 'Red Wedding' passage was first published in A Storm of Swords in 2000.
He told Inside TV 'The Red Wedding' hits readers hard because it is a chilling betrayal that "comes from nowhere".
"That was the hardest scene I've ever had to write. It's two-thirds of the way through the book, but I skipped over it when I came to it. So the entire book was done and there was still that one chapter left. Then I wrote it. It was like murdering two of your children."
However, he has never regretted the passage.
One of the Game of Thrones actors did manage to keep the scene in perspective.
Maisie Williams, who plays Arya Stark on the show, posted a funny video of her reaction to the episode on her Vine.
It has been shared widely by fans looking for some light relief.
See: Robb, Talisa and Catelyn meet their ends in 'The Red Wedding'.
- nzherald.co.nz