The trio were in Oregon shooting the drama last year (12) when Sarsgaard suggested they check out one of the state's famous hot springs nearby.
The stars didn't pack their bathing suits, so the Green Lantern star and Eisenberg jumped in naked - however, bashful Fanning admits she was too embarrassed to do anything but watch.
She tells Glamour magazine, ""I don't do enough adventurous things, because I'm like, 'I might get hurt.' But when we were doing Night Moves, Peter, Jesse, and I went to these hot springs in Oregon, and I didn't have a bathing suit. The woman who worked there said, 'Oh, not a problem. Clothing's optional after 8pm.' And I was like, 'Whoa. No, no, no! Not doing that. Here. With any of you!'
""So we went in there, and everyone was so comfortable being naked. They were so free. I just sat there and begged to go back to the hotel... It was really fun. I just wanted to have a bathing suit on.""
And the beauty admits she sometimes wishes she was more adventurous like her younger sister, actress Elle Fanning: ""By nature I'm kind of a reserved person. Something I admire about my sister is that she's very free and just lives life like no one is watching her.""