Lost in London was filmed in multiple locations in the capital in the early hours of Friday.
In a cinematic first, the film was shot in a 100-minute single take and broadcast live to 550 US cinemas - and one in the UK.
But the project was almost derailed by the discovery of a suspected World War Two bomb just hours before the shoot.
Waterloo Bridge - where the closing scene of the film takes place - was closed for a few hours but reopened just in time for the live shoot to go ahead as planned.
Speaking after the filming ended around 03:40 GMT, Harrelson was incredulous at the timing of the "bomb" discovery.
"That thing has been there for 70 years and they discover it tonight? That's impossible!"
Lost In London was shot on a single camera, involved a crew of 325 and more than 300 extras who had been rehearsing for four weeks.
"I would never do this again. No way. It felt like walking on a high wire," said Harrelson afterwards.
There were no major gaffes - although one actor walked out of a scene, forcing Harrelson to ad lib during a phone call until the character returned.
"It felt like five minutes," Harrelson said. "It was only a matter of seconds. But, boy, those were some painful seconds."
The film was screened in just one cinema in the UK, London's Picturehouse Central, where it received an enthusiastic reception.
The comedy plot was loosely based on a real-life night out that Harrelson had in the capital in 2002 in which he ended up getting arrested and spending time in a police cell.
The film opens with the words: "Too much of this is true."
Harrelson, playing a version of himself, is seen coming off stage in the West End to discover he's the subject of a tabloid sex scandal just before he goes to meet his wife in a restaurant.
The film includes a fight in a nightclub and chase sequences on foot and by car.
Much of the comedy comes from the scenes with co-star Owen Wilson - and the script is sprinkled with references to Harrelson's past projects, including Natural Born Killers and Cheers.
"It was pretty thrilling," Wilson said after the filming.
"I had a lot of anxiety about doing it a couple of weeks ago but we practised... and I was really happy to be a part of it. Maybe I should start doing theatre."
Musician Willie Nelson turned up in a cameo role as did U2's Bono, as a voice on the end of a phone.
"I felt like we took some risks. It was scary - the whole process," Harrelson said.
Harrelson's next project will see him join the Star Wars franchise with a role in the spin-off movie about the young Han Solo.
Did he think Hollywood would ever adopt the as-it-happens style of Lost in London?
Harrelson laughed: "If someone was thinking of doing it all they'd need to do is talk to me and I would talk them out of it."
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Woody Harrelson said directing his ground-breaking live film project was like "walking on a high wire".