The Sexy Beast star was just six months old when Kray visited his father at their East End home in 1957 and promptly peed all over his brand new raincoat.
'By all accounts he came round to see my dad and there was a few people there and he picked me up and I weed all over his raincoat,' he told Desert Island Discs host Kirsty Young.
'He had a brand new raincoat, and everyone kinda went quiet then Ronnie laughed and everyone laughed and I guess he went off then to have his raincoat cleaned.'
Winstone said he discussed the incident with Kray in the Eighties when he visited him at high-security Broadmoor Hospital in Berkshire.
The gangster was jailed in 1969 for his part in the murder of two underworld rivals and died there in 1995.'I visited him years later when I was at one time going to do the Kray film... It must have been the early eighties at Broadmoor and he mentioned that to me so you kind of know the story is right because I'd heard it for years.'
The former London schoolboy boxing champion who won 80 out of 88 fights, admitted he had been in his fair share of scrapes.
I've had many clumps as well, you know, black eyes. You don't win all the time,' he said.
'My Dad had boxed with Ronnie and Reggie at the Lansdowne Club in Hackney. He was never part of any gang or anything like that with them.'
Ray's chosen discs included golden oldies such as I've Got You Under My Skin by Frank Sinatra, as well as Intermezzo from Pietro Mascagni's Cavalleria Rusticana.
It featured in his favourite film, Raging Bull, starring Robert De Niro as boxer Jake LaMotta.
His luxury item was a fishing rod and his book was Alan Le May's The Searchers.
The actor revealed that he was such a spendthrift in his youth that it almost prevented him pursuing his career.
'I thought I was Arthur Daley,' he said, likening himself to the spiv-like character in TV series Minder.
'If you want to be a member of society you pay tax, you know, and I have no problem with that now. It was part of growing up.
'I was skint, I couldn't get a job and I hadn't paid my tax,' adds Winstone, who declared himself bankrupt in 1988 and 1993.
'I had two choices. I could either go and sign on and get my flat paid for or go to work.
'I chose to go to work and I paid all my debts off.'
Winstone, 57, whose song choices include Doris Day's Que Sera Sera, also tells Young of his brushes with notorious gangsters the Kray Twins during his working-class childhood in London's East End.
l Desert Island Discs is on BBC Radio 4 today at 11.15am and on Friday at 9am.
