He plays the transgender woman who was one of the first to undergo gender reassignment surgery.
"Lily was an extraordinary human being and an icon in the trans community," he said at the Toronto Film Festival.
Redmayne, who won an Oscar for his portrayal of Stephen Hawking, is tipped to win again for playing Elbe.
The Danish Girl is Redmayne's first film since his best actor win at this year's Oscars for The Theory of Everything, in which he portrayed the celebrated physicist.
However the star downplayed his chances of a repeat success.
"It's been a long project in the making - the producers have been working on it for 15 years," he told reporters at the North American premiere of the film.
"I was given the script when I was making Les Miserables three or four years ago, so I committed to this before I even read Theory of Everything.
"Frankly people getting to see it means everything to us, and any buzz that encourages people to see it is a good thing."
The film, set in early 1920s Copenhagen, also stars Swedish actress Alicia Vikander, who plays Lili's wife Gerda, Amber Heard and Ben Whishaw.
Director Tom Hooper told the BBC he cried when he first read the script.
"It was incredibly moving," he said. "What inspired me is it's a fantastic love story - it's as much story about a partner supporting someone going through a transition and the love that allowed this to change. It's so forgiving, so compassionate and selfless."
Hooper said he hoped the film would help give courage to others who find themselves in the same situation as Lili.
"Lili was so courageous to go through that process at a time before antibiotics. The risks were incredibly high, one can only imagine the pain she was in," he said.
"I hope it encourages other people who might feel marginalised because of their gender identity, to take inspiration from her extraordinary story."
The film is due to be released in UK cinemas on 1 January.
It was a "great privilege" to tell the story of trans pioneer Lili Elbe, Eddie Redmayne has said of his latest film, The Danish Girl.