He said the current situation is "bananas."
Lee directed a music video for The Killers' latest song, "Land of the Free," and incorporated real-life scenes that he shot of migrants at the U.S.-Mexico border.
Brandon Flowers of the band called Lee "out of nowhere" after seeing his latest film, "BlacKkKlansman," and asked him to direct the project.
"He told me he has a song and it's a protest song," Lee explained. "I said, 'Send it to me,' and I said, 'Let's do it.'"
The lyrics in the last stanza, which reference building a wall at the border to keep out "people who just want the same things we do," are "the ones that stood out to me" Lee said, because they were about "people who were seeking peace."
"It's so relevant because over 800,000 Americans are not being paid -- because of what's happening on this thing," he explained, referring to Trump's government shutdown over funding for a border wall.
Lee recalled Trump's words from the campaign trail when he "tried to criminalize" specific groups of people, such as Mexicans.
"[He was] saying, 'All Mexican's are rapists, murderers, drug dealers.' And then he said with the caravan that was coming, 'Well there's some people from the Middle East,' so he was trying to say there was terrorists," the director said. "They're people who walk hundreds of miles in flip-flops, so unless they made some nuclear bomb flip-flops..."
"This is bananas, this is a crazy time," Lee said.