"We connect on a lot of levels but the first things that really got me was she's an aficionado of the blues," the actor told E! News at the Los Angeles premiere of Heard's latest film, The Danish Girl. "I would play a song, some old obscure blues song, and she knew what it was."
"She's very, very literate. She's a voracious reader as I have been so we connected on that level as well. And she's kind of brilliant," he continued.
Depp and Heard famously tied the knot in February after dating for almost two years. "Im a lucky man," the 52-year-old added at the premiere with a smile.
The Danish Girl, adapted from the David Ebershoff book of the same name follows the story of Lili Elbe (Eddie Redmayne), the first transgender woman to undergo sexual reassignment surgery in the 1920s. Heard plays a dancer friend to Elbe and wife Gerda Wegener (Alicia Vikander) in a role that Depp says his wife "worked very hard" on.
"It's a very beautiful movie and I'm very proud of her," Depp said. "It looks like where she belongs. I always felt like I was supposed to be in a different time and I kind of felt that way about her the first time I saw her, so it looks right and perfect for her."
Earlier this month, Heard made headlines after she opened up in the December issue of Marie Claire to debunk rumors about the couple splitting. "I try not to react to the horrible misrepresentation of our lives, but it is strange and hard," she said.
In October, Depp pranked his partner for the Velocity series Overhaulin' when he tricked the 29-year-old into believing her 1968 Mustang had been stolen for a third time.