The actress, who has been close buds with the pop superstar for a number of years, spent months urging the singer to try and make the relationship work for the sake of their children.
A source said: "Gwyneth will be deeply upset the marriage has ended. She begged Madonna all summer not to be an idiot and let the marriage fall apart. No one tried harder than Gwyneth to convince them to stick together.
"But Madonna has always been her own woman and in the end made her own decision."