"In 1987, I was in a club downtown with her and she kept stepping on my feet," Neilsen, 56, said. "She was very rude and I ended up giving her a slap across the face," the actress alleged.
Neilsen remembered then being escorted out of the club.
The revenge didn't stop there, however, according to Neilsen.
"The best part is yet to come," Nielsen said before claiming: "a couple months later in the south of France, I got back at her for being rude, having a one-night stand with Sean Penn."
Penn, 59, and Madonna, 61, were married for over four years in the '80s, according to People magazine.
The audience erupted into cheers as Neilsen held two thumbs up and wore a smile.
On Friday, Madonna kept concertgoers waiting for two hours beyond her show's scheduled start time, saying "a queen is never late."
Nielsen slammed the comments, saying Madonna's disrespect for her fans was "ridiculous and uncalled for."
"She's not the queen," Nielsen said.
Reps for Madonna and Penn did not immediately respond to Fox News' request for comment.