The model, who was in a relationship with the Hollywood actor between 1994 and 1998, offered the surprising insight during an interview with British Vogue about her most famous looks.
Reflecting on a John Galliano white dress she wore in 1995, Moss recalled how she was given the item by the designer but had since lost it.
Turning her attention to the jewellery, she said: “And that diamond necklace Johnny gave me, they were the first diamonds I ever owned. He pulled them out of the crack of his arse.
“We were going out to dinner and he said, ‘I’ve got something in my bum, can you have a look,’ and I was like, ‘What?’ and I put my hand down his trousers and I pulled out a diamond necklace. That diamond necklace.”
Moss, 48, recently testified in defence of Depp, 59, during his multimillion-dollar US lawsuit against his ex-wife Amber Heard.
The Aquaman actress had mentioned a rumour that Moss was pushed down the stairs by Depp while the two were in a relationship.
But when Moss testified during the trial, appearing in the Virginia courtroom via videolink, she said Depp had not “pushed, kicked or threw me” down any stairs while they were together.
She later told presenter Lauren Laverne while appearing on BBC Radio 4’s Desert Island Discs: “I know the truth about Johnny. I know he never kicked me down the stairs. I had to say that truth.”
The British Vogue interview also saw Moss admit she did not realise her famous so-called naked dress was see-through.
The catwalk star wore a sheer slip dress to Elite Models’ look of the year party in London in 1993, wearing only a black thong underneath.
“I did not know that this dress was see through until the pictures came out the next day in the newspaper,” she said.
“It was the flash that made it look naked cause actually the fabric when I was wearing it, when I went out I didn’t think it was that see through.
“But obviously it was. I mean, had I known I’d be talking about it 30 years later … good dress good night.”
The September issue of British Vogue is available now.