The wife of actor Michael Douglas, and mother-of-two, was the target of a heavily armed gang that ambushed her as she returned from a film location.
According to a London newspaper, Zeta-Jones in Mexico to film "cowered in fear as the gunmen tried to force the limo off the road".
The paper said she was saved by bodyguards travelling in another car who rammed the bandits' vehicle.
The ram-raid allowed Zeta-Jones's driver to escape. The bandits then fled, chased by the other bodyguards, who called in local police in San Luis, north of Mexico City.
Police said four men were arrested over the attack.
"The gang was armed to the teeth," one policeman told the newspaper.
A film source said: "Catherine has been left really shaken up by this. She has only been on set for a few days. She was very emotional afterwards and had to be calmed down."
Zeta-Jones is expected to stay in Mexico until December to complete the film.
In a separate case, a preliminary hearing in the US has heard that death threats phoned to a hotel where Zeta-Jones was staying were linked to a Los Angeles woman accused of stalking the actor.
A detective testified that phone bills showed calls to the hotel were made by Dawnette Knight, 33, who is charged with one count of stalking and 24 of making criminal threats.
The charges involve phone calls and 19 letters that describe harm to Zeta-Jones.
Prosecutors allege Knight threatened Zeta-Jones because Knight had a crush on Michael Douglas.
One letter said, "We are going to slice her up like meat on a bone and feed her to the dogs".