The couple are among thousands who invested cash with New York financier Madoff, who was jailed after admitting running the biggest Ponzi scheme in history.
'I am not going to say it did not have its emotional downsides. But we were both young and we both had the ability to work and roll up our sleeves and start putting the pieces back together,' Bacon told Details magazine.
'The truth is that we went through it together.'
Bacon, 52, and Sedgwick, 45, married in 1988 and the X-Men: First Class star says the secret to their relationship is simple.
'I like being married to her. I like spending time with her. We have found the right person to be with.'