The 38-year-old actress, who once followed a strict macrobiotic diet, said she has a deep fat fryer in her kitchen at home.
And she confessed she would eat anything if it was battered 'even a cockroach'.
She said, 'I deep fry a lot of French fries, the good style, like double fried.
'Fried zucchini, I make fish fingers for the kids, fried chicken.
'Fried food is my weakness. I don't have a sweet tooth.
'You could fry a cockroach in batter and basically I'd eat it.'
She has previously told how she ditched her super-healthy diet when she fell pregnant with her first child, Apple, born in 2004.
'When I first got pregnant, it changed. I couldn't go near anything healthy,' she said previously.
Paltrow appeared on US talk show Conan after getting her star on the Hollywood Walk of Fame on Monday.