The 84-year-old was greeted with spontaneous applause at a press conference to promote a documentary about his one-man tour of the US, A Conversation With Gregory Peck.
Asked what he thought of today's Hollywood stars earning $30m per movie, he quipped: "I was born too soon."
But asked whether he thought contemporary performers had more style, he exclaimed: "Do I think there's a glamorous male actor today? No way."
Peck, who graced the big screen for six decades before moving on to the live circuit, gives a frank account of his personal and professional life in the documentary, which is produced by his daughter Cecilia.
He was also on form in the press conference, telling journalists he had one great regret about his career: turning down Gary Cooper's lead role in the 1952 western High Noon.
"I might have had two Oscars on the mantlepiece instead of one," he said.
Peck, whose films include Cape Fear, The Big Country and The Omen, also reflected on how Hollywood had become a more stressful and hectic place during his career.
"It seemed it was a more fun place to go to work. I remember whistling on my way to work in the morning.
"I remember meeting Groucho Marx. He said he did the same in the morning, whistling," he said.
His favourite role was that of the lawyer Atticus Finch in the film version of Harper Lee's novel To Kill A Mockingbird, about a white counsellor in the US deep south who agrees to represent a black man wrongly accused of rape.
"That's my favourite role," he said. "I suppose, although it's flattering to say that about oneself, it's pretty close to the real me."