The 35 year-old admitted she was paying the price after constantly changing her hair colour during her glittering career.
The actress, previously a brunette and redhead, disclosed that her locks had fallen out in clumps because she dyed it too often.
The star, a natural blonde, admitted it the situation had created so many bald patches that she planned to shave her head.
"I like it all colours, it makes you feel different according to what colour it is, but I prefer to be blonde. My son [16-month-old Xander Dane] recognises me in photos when I am blonde. He says, 'mama'.
"I've been blonde, red with extensions for this film, then blonde, then black, and now blonde again. I'm going to have to shave it off and wear a wig.”
Miss Jones appears in the latest series of Mad Men, as Betty Francis which airs in the US in April.
A date for screeninghere, where the last series was shown on Sky Atlantic and on RTE2, is yet to be announced.
In Sweetwater she plays a former prostitute in 1800s New Mexico, who seeks revenge against the men who killed her husband.
In the film, the natural blonde goes red with strawberry-coloured hair extensions.