This story appears in the October 2016 issue of Playboy. Subscribe

Your parents were both directors. How much were you exposed to the film business when you were younger?
I was born in New York, and my parents, even when I was little, both wanted to be filmmakers. I think my mom got a job in Los Angeles, so they gave up their apartment and drove cross-country with me. I was really little. At first my dad was a carpenter in L.A. They were just jobbing, trying to get work. By the time I was old enough to really remember, they were both making movies. They were never celebrities; it wasn’t a world like that.

When you’re playing a part like the recovering addict Sherry in Sherrybaby, or Candy, who’s a prostitute on our show, The Deuce, how do you meld yourself to someone who lives a life so different from yours?
There are things that come without my thinking about them—like wardrobe or hair and makeup—where I just have a sense. I don’t totally know where that comes from, but it’s a big part of creating somebody. Then, for example, Candy has a child and is a prostitute. I gave myself some space to imagine and see what bubbled up. As Candy I was thinking, Did I ever put my baby in the other room and fuck a john or go down on someone, and the baby started to cry in the middle of it? Did my milk ever start to leak when I was with a john?

Oh my God.
Those are intense, right? And you go, Okay, now that’s a real person. Now the blood is coursing in my veins as this person. You also have to ask, How many people am I fucking a night? How cold is it? Which of the eight men I’m sleeping with tonight is this one? I find it difficult to be disciplined enough to do that work, but when I do it, it helps.

You worked pretty intimately with James Spader in Secretary. How did you navigate those scenes?
I didn’t know much about the business of making movies at that time, but I see now that Secretary wasn’t a real movie until they had a guy who meant something financially. We were working, but I don’t think the movie was real until they got James. He came in and read through some scenes with me, and it was amazing. We were just quietly reading through these scenes, sitting on a couch, but it was on. James speaks very slowly and deliberately, and at the end of this read-through, he sort of stopped and took a long, dramatic pause, looked at the director and said something like “I think…you have hired…the most wonderful actress for this role.” My heart was beating. I was like, Oh my God. I also remember him saying to me in the very beginning, again with a lot of dramatic pauses and very deliberately, “I always have an ally on everything I work on, and this time my ally is you.” And I just went on the trip with him. I was his ally.

You and your brother Jake worked with Heath Ledger in what I thought were two of his best performances—Brokeback Mountain and The Dark Knight. Did you see his idea for the Joker taking shape?
I remember my husband, Peter Sarsgaard, talking to Heath about Jack Nicholson having played the Joker. Heath kind of said, “I know what I’m going to do. I have an idea.” The thing is, it’s really hard to be excellent and free in a movie of that scope and when there are so many other things that are important aside from the acting. And Heath really is totally free. It’s hard to make space for yourself to do that in a movie like The Dark Knight. It’s way easier in a movie like Sherrybaby, for example. That was what was particularly amazing about Heath as the Joker. It was totally clear from the second I was on set with him that he was doing something really special and alive.

You told me Jeff Bridges once said to you, “Everything goes into the stew.” How do you use that?
Here’s a simple example. An actress said to me two days ago, “I’ve been getting so scared when it comes time for my close-up. I’m paralyzed with fear.” From my objective position, I was like, “You’re playing someone who is acting like they’re comfortable with the wildest sexual encounters. It is so much more interesting if that person sometimes is paralyzed with fear.” I don’t believe in the fantasy person who is totally comfortable with that kind of stuff. Maybe there are a couple of people like that in the world, but I’m not really interested in them. I’m much more interested in the person who acts like they’re comfortable with all those things and then sometimes is paralyzed with fear. If that actress heard me, then the experiences come out and she’s paralyzed with fear. If you can just let that be okay, then all of a sudden you’re doing something fascinating. I think that’s what Jeff was talking about. I really find that freeing.