Headey told The Sun she was pregnant at the time of the shoot, so she used a body double for the scene, in which a cult forced her to walk through the streets naked.
Headey explained she's not against performing in nude scenes in general, however.
“I’ve done nudity. I’m not averse to it," she said. “I’m a very emotional actor and get really driven by that. To do my job, I allow myself to be really vulnerable. I don’t know any other way.”
She embraced that vulnerability when filming as a way to cope with the pain of her divorce from her husband of six years, Peter Loughran, in 2013, explaining, “I tried to put into Cersei in a way that was cathartic for me, otherwise I would have had a meltdown.”
Headey says she's got little in common with Cersei in terms of her own personality, which makes the role a bit of a challenge, but that the character did help her cope with another trauma in her life: postpartum depression, which she suffered in the first season of the "Game of Thrones."
“It was horrendous — I had post-natal depression but I didn’t know it," she said. "I saw a doctor for the medical check and I just burst into tears. I did the first year [of 'GoT'] in that space, figuring out motherhood and going through a weird time personally. It was tricky.”
Headey says she'll miss the show, but there's one element of it which she's eager to strip herself of for good: Cersei's cropped wig, which Headey — who also said she only worked for 15 days per year — calls "the itchy turnip."
"I hated that thing. I would have liked to burn it," she confessed. “Everyone keeps asking me if I took anything from the set — but I didn’t take anything.”
Playing Cersei was challenging at times for Headey, she says, because she's a self-described "nerd" who's shy and suffers from anxiety, but she'll miss the series and admitted to crying when "GoT" filming ended.
“I thought I wasn’t going to let myself get to that point because I had the last day to get through — and then, when I left and I got in the car, I broke down in tears and I was devastated," she said. “It’s been nine years and it’s been amazing, and I’m happy to go and find new things.”