After finishing the script and starting work on casting and production, Madonna realised that the budget of film was going to be high. Simpson's character had around 80 costume changes with dresses by designers like Balenciaga, Christian Dior, Madeleine Vionnet and Elsa Schiaparelli. Most of the actual dresses were kept in museum archives, hence unobtainable to Madonna. Instead, many of the couture houses offered to create the dresses for her. While casting for the film, she asked for a Michael O'Connor wedding dress, in display at the National Museum of Costume in Scotland, for a scene where Riseborough would wear it.[ National Museum of Costume general manager Margaret Roberts said they were happy to send the dress to Madonna. "Our Marriage in the Movies exhibition is packed with fabulous gowns that tell a story not only about the history of the period they represent, but also of Hollywood glamour and style," she said. [...] This is a dress that was made for the movies, so when we received the request from Madonna's production company, we were only too happy to oblige." Other fashion designers working for the film included John Galliano and Issa, who provided clothes, Pierre Cartier the jewels, and Stephen Jones the hats.
She also enlisted costume designer Arianne Phillips to create the dresses for the film. The costumes designed were a combination of real vintage pieces, others were remade based on patterns that were obtained out of the museum archives, and the rest had to be freshly made. In an interview with W magazine in November 2011, Philips explained that she "started doing research in 2009, a year before [W.E.] began filming... To me, Wallis Simpson was a style icon, but I didn’t know she was a couture client well before she met Edward. She was also a hungry whore for jewelry. Edward gave Wallis jewelry to make her feel royal. My first task was figuring out how to re-create those famous gifts." Madonna had sent a box of her research to Phillips, so that the designer could get a head start for the project. The singer understood the kind of attention to detail needed to create the costumes, drawing from her own garments which included couture. Phillips then researched the clothes on display at fashion departments of the Metropolitan Museum of Art's Costume Institute in New York, the Musée de la Mode et du Textile in Paris and the Victoria and Albert Museum in London. She then went to Los Angeles, where retailer Doris Raymond, from The Way We Wore had opened up her personal library of 1930s couture. There Phillips watched old newsreels from the University of California archives. Once filming started, the designer moved in Madonna's guesthouse in London, where they would watch the shot reels together and scrutinize the dresses. Phillips established contacts with designer labels like Cartier and Van Cleef & Arpels to replicate a cross bracelet and ten other pieces. For the gowns, undergarments, and dresses needed for the 60 costume changes in the film, Phillips scoured the archives of Vionnet and Schiaparelli; then with the cooperation of both houses she redesigned Simpson's clothing. The first dress in which Riseborough appeared as Simpson in the film was a re-creation of the dress owned by Simpson herself. Phillips decked the dresses with diamond bow brooch at the neck and paired with organza skirts, and was able to obtain duplicates for some of them from Cos Prop, a costume shop in London.
Some of the pieces that the duchess actually ordered I thought were hideous. Those wouldn’t work for the movie, so we modified and invented. Wallis wasn’t pretty; she was handsome, at best. In England, it was noted over and over how unattractive she was. But Wallis was a lot of fun—very entertaining. She had a freedom to her that was definitely reflected in her clothes; the duchess was all about presentation. And that became her refuge, and her prison.
According to Phillips, Edward's choice of clothes were specific and he rebelled against what his father dictated as the protocol for dresses. He used to wear navy blue tails, rather than black ones, as formalwear. The designer was able to see the original ones he owned at the Costume Institute. To re-create the look, Phillips contacted luxury goods company Alfred Dunhill who had an understanding of bespoke tailoring available in London's Savile Row. They provided Phillips with tailor, wools and fabrics from the mills that had created the original fabrics for Edward himself. Phillips tailored the baggy looks of the 1930s suits, to make them appealing for the contemporary audience. In the end, all the costumes were hand-made, with a total of 60 costumes being created for Simpson and 30 for Edward.