Jake Gyllenhaal recently opened up on “The Howard Stern Show” about what it was like losing two major roles during the final rounds of casting: Batman in Christopher Nolan’s “Batman Begins” and Christian in Baz Luhrmann’s “Moulin Rouge!” On the latter film, the audition process came down to Gyllenhaal, Heath Ledger and Ewan McGregor. It’s here where Gyllenhaal first heard of Ledger, who would later become his co-star in “Brokeback Mountain.”

“What I felt was disappointment when I didn’t get it. Both Heath and I were disappointed,” Gyllenhaal said. “But that’s Ewan McGregor’s part. You learn to go, ‘There’s another one. I can try and go in and audition for another one. I’ll get something else.’ You keep that attitude.”

Gyllenhaal maintained that healthy mindset when he lost out on “Batman Begins” a few years after “Moulin Rouge!” fell through. David S. Goyer,...