"Why do I have to be in my underwear next to the most physically perfect person on the planet? Why couldn't I have been next to John Goodman or Michael Moore in their underwear?" said Oswalt at the film's premiere Thursday night. "It was a dream that turned into a nightmare."
The dramedy, which opened in select cities Friday, stars Theron as Mavis Gary, a boozing, delusional author of young-adult novels who returns to her hometown to win back her happily married high-school sweetheart, played by Patrick Wilson.
Mavis forms an unlikely bond with nerdy former classmate Matt Freehauf, played by Oswalt.
Oswalt said he kept a souvenir from his time on the set with Theron - post-traumatic stress disorder.
"Every time I hear a car backfire, I think I'm getting naked again," he joked.
The film, directed by Jason Reitman and written by Diablo Cody, goes into wide release on Dec. 16.