Playing a Holocaust survivor in the 1985 film War and Love, where the slender-framed actress dropped 20 lbs., started what she says was a year-long battle.
"Food has never been easy for me. I came back from that [role], and it triggered something," The Closer star, 44, tells More in its July/August issue. "I ate everything in sight. My weight went up and then too far down."
She says what helped was throwing out her scale after being tired of mood swings and self-judgmental reaction – a decision she credits for helping her recover to this day.
"I'm so grateful that I don't get on a scale," she says, "because it's never going to be the right number."
Another issue that has hit close to home: Discovering she and husband Kevin Bacon, 51, were victims of Bernie Madoff's elaborate Ponzi scheme.
Her initial reaction to news that their investments had disappeared in the hands of the notorious money manager, who was convicted and sentenced to 150 years in prison in June 2009, was sheer disbelief.
"I laughed," she tells the magazine. "I just couldn't believe it. It's awful, and it's really sad and infuriating."
But what she's even more angry about is how the case wasn't handled properly beforehand. "You know what it's shattered my trust in?" she says, "the government taking care of us. The S.E.C. knew – they knew.
Adds Sedgwick: "There are a lot of people who are so much worse off than we are. He's a sick man."