Jeon, 34, won the prize for playing a widow struggling to cope with her husband's death in "Secret Sunshine."
"I turned down the offer at first because I could not understand from just reading the script the feelings and circumstances that (lead character) Shin-ae experiences," she said.
But then director Lee Chang-dong helped her understand, and "when I read the script again after that, I could feel Shin-ae's pain that I couldn't before," Jeon told a news conference carried live on national TV.
"I wanted to experience it and know what would be the end of the pain," she said.
Secret Sunshine is the name of a town in southeastern South Korea where the character Shin-ae's husband was born. She moves to the town following her husband's death, but loses her son there, too.
South Korea has heralded Jeon as a new national hero. Her award garnered front-page news coverage and drew congratulations from President Roh Moo-hyun.