Knightley, an accomplished actress, sings in the movie, whereas Levine, frontman of the band Maroon 5, acts.
The two admitted that leaving their comfort zones made them uneasy but that they related to each other's nerves.
"I kept telling her she was great and she wouldn't believe me, and she told me that I wasn't bad at acting either but I didn't believe her, so it was perfect," Levine said Saturday as the film closed the Tribeca Film Festival.
"I was completely terrified," Knightley, 29, emphasized of her singing.
"I didn't anticipate being as frightened as I was. I said yes to doing it and I was, 'Oh, it's gonna be fine, it's gonna be fine,' and then suddenly I found myself in a studio with real people who did it for a living and I was like, 'I don't know what I'm doing. I'm pretending.'"
To walk a red carpet for his first acting role, Levine, 35, said he was "blown away."
Levine says he enjoyed the experience so much he might have caught the acting bug.
"My experience was so much fun," he said. "It made me kind of start to like it a little bit, but I don't know. I don't think you can really make those bold declarations, but we'll see."
So how did the two grade each other?
Knightley called Levine a "natural entertainer" who was "sensational in this film."
Levine, who serves as a judge and mentor on NBC's singing competition show "The Voice," said that if Knightley were to audition he would want her on his team.
"Begin Again," is directed by John Carney, who also was behind the successful musical drama "Once." It also stars Mark Ruffalo, Hailee Steinfeld and Catherine Keener. CeeLo Green also has a small role.
The movie opens in the U.S. in July.