Kelly Macdonald: 'I'm so not a celebrity'

Until recently, Kelly Macdonald was one of that rare breed of famous people who went unnoticed in public. Not any more. "It's a little bit alarming," she says. "Someone pointed at me in Ikea recently and went, 'You're her!'" She bursts into a giggle, which will recur throughout our meeting, sometimes becoming a hearty laugh, suggesting she doesn't take herself as seriously as people in her profession tend to.

"I just sort of nodded and kept going," she continues of the Ikea encounter. "It's that TV thing. You can be in the biggest film of the year and it will still not have the kind of impact a TV series has. Once you're in people's living rooms, that's it. There's no hiding place."

Now, when people notice Kelly Macdonald they are seeing Margaret Schroeder, the character she plays in Boardwalk Empire, the award-winning HBO gangster costume drama screened here on Sky Atlantic. Macdonald inhabits the character of Margaret in much the same way she inhabited Mary in Robert Altman's Gosford Park (2001) or Carla Jean in the Coen brothers' No Country for Old Men (2007). She gives a quietly assured performance that seems to grow in confidence and complexity as the character blossoms, in this instance, from an earnest, God-fearing Irish Catholic immigrant to an unreadably powerful presence who, to paraphrase her paramour, "Nucky" Thompson, the corrupt king of Atlantic's City's boardwalk empire, knows just how much sin she can live with.

"I think I'm a good listener," says Macdonald when I ask her if she's in danger of being typecast as a passively powerful female. "I tend to get cast as a certain type of quiet, almost introverted person who's strong on the inside, but the characters are so very different I don't see it as any kind of typecasting. In Gosford Park Mary sees and hears everything. Margaret is in that mould but she breaks it. She has so many aspects to her character. She starts off as someone who acts in the interests of her family but by series two she's become more dangerous in a way. She knows a lot of things about a lot of powerful people. She's taken a certain path and there's no turning back. It's a complex arc and a sustained one."

We're sitting in a coffee bar in Parsons Green, south London, where Macdonald, mercifully for her, goes unnoticed by the staff and customers. She does come across as the least affected famous actress on the planet. "I'm so not a celebrity," she says when I bring up the C word. "I just walked through Chelsea past this shop and I remembered getting an invite from a designer whose clothes were in the window – 'Come down to London to our party and we'll give you all this stuff' – I find that kind of thing just a bit embarrassing. It's not what I signed up for. It all seems a wee bit silly, really."

She even admits to being starstruck herself sometimes, recounting how she "launched herself" at the charismatic Michael K Williams, one of her co-stars in Boardwalk Empire, when she was introduced to him. "I'm a huge fan of The Wire [in which Williams played gay gangster Omar] and I was so excited to meet him, I was round his neck before he could say anything."

You can tell Macdonald has no regrets about taking the role in Boardwalk Empire, though it means she's off again to New York in February for another eight months' filming on an elaborate set in Brooklyn. She originally signed a four-year contract, which is currently up for negotiation. Given that she has a husband – Dougie Payne, bass player of Scottish band Travis – and a young son, Freddie, who will be four in March, it sounds like quite a commitment.

"It is," she says, pulling a concerned face. "There's always an element of upheaval. I have working mother's guilt big time, so the family comes with me. We're all out there on location for eight months. It's a big ask, but Freddie loves it and Dougie, as a musician, is kind of used to it. It could be a lot worse."

In between extended stays in New York, Macdonald has recently been working on two films. The first, Brave, is a 3D computer-animated fantasy produced by Pixar, set in a mythical Scotland. She voices Merida, skilled archer and impetuous daughter of King Fergus (Billy Connolly) and Queen Elinor (Emma Thompson). Macdonald describes it as "a coming-of-age teenage story in which I am a tomboy constantly at war with my mother who is trying to create the perfect princess". Merida defies an age-old custom and unleashes chaos in the Highlands. Sounds like fun, I say, but is it acting? "Totally!" she says, affronted. "It's like hyper-acting. You can't rely on your face to convey anything so it's all voice. It's mad. It's like nothing I've ever done."

When I meet her, Macdonald is just about to do an extra day's shooting for Joe Wright's forthcoming adaptation of Tolstoy's Anna Karenina, scripted by Tom Stoppard and inevitably starring Keira Knightley in the title role opposite Jude Law's Alexei. "It's a bit embarrassing," she grimaces. "I'd said my goodbyes and got my scented candle and all that and now I have to go back and meet them all again."

Macdonald moved back to Scotland from London a few years ago and seems settled there. "A few years ago, if you had told me I'd be moving back to Glasgow I'd have said, 'No way'. But it's changed. It's much more vibrant, bohemian. But I'm 35 and I've become a bit of a homebody, I don't really go out much. Same in New York. My home could be anywhere but I love Glasgow."

Macdonald is famously tight-lipped about her upbringing there. Her parents, Archie and Patsy, divorced when she was nine. "It was fairly middle-class up to a point and then money struggles hit," she told the Observer in 2009. "We didn't starve or anything… our mum always looked after us." She has been estranged from her father since her teens. When I ask her about her childhood she says softly but determinedly: "I'm not talking about that."

Was she a tortured adolescent, though, rescued by acting? "God no!" she exclaims. "Anything but. I worked in bars and stuff and had fun. I was interested in drama but it never seemed like a real profession somehow. It was so outside my experience and I probably wouldn't have had the confidence for drama school, though I did send off for an application form."

When I ask her where her acting skills come from she mentions a great aunt, Toko, who was half-Japanese and worked as an acrobatic dancer in the music hall era. "That was it, really, apart from a few fortune tellers on my mum's side. My granddad used to joke that my grandmother was descended from a shower of tinks," she says, cracking up.

Her life changed dramatically one afternoon in 1995 when she was handed a flyer advertising auditions for a new film called Trainspotting that was about to be shot in Glasgow. She went along and landed the part of Diane, the schoolgirl who seduces the film's antihero, Renton (Ewan McGregor), in Danny Boyle's breakthrough film. The rest is history. She seems to thrive in auditions, I say. So far, she has tried out successfully for Robert Altman, the Coen brothers and Scorsese – that's quite a track record.

"Well, they were all very different experiences, though you are essentially doing the same thing. With Altman there was a playfulness about him. Really, you just wanted to please him. When he offered the part he actually said, 'Come play with us.' It was a lot of fun, haphazard but really freeing. You never knew which way was up or if you were even on camera or not. It kept me on my toes and I like that."

For No Country for Old Men she was the first actress out of hundreds the Coen brothers auditioned, and landing the part pitched her into a different league in terms of profile and earnings.

"I think I surprised everybody, including Ethan and Joel. They like to keep things close to home when they choose actors and I was Scottish, but I obviously did something right." What were they like to work for? "Like Altman they do things their way. They're mavericks who care passionately about their films but don't care about the rules. It rubs off on you when you work with people like that."

When Terry Winter, creator and screenwriter of The Sopranos, called her up about a part in a new pilot for a gangster series set in Atlantic City, he mentioned that Scorsese was involved almost as an afterthought. "It was, like, 'By the way, Marty Scorsese's directing it.' I just said, 'Right, I'm on board if you want me.' I didn't really know anything about the character or her development but it was Scorsese. That was enough for me." Was it daunting to read for him? "Kind of, but he's just so fascinating to be around. He's so welcoming and enthusiastic and full of knowledge, but he's also interested. Honestly, he's one of those people who's such dead good company that you forget it's him."

The slow-burning success of Boardwalk Empire echoes the leisurely pace of a drama that pulls you in slowly and insists on your patience and commitment at a time when the tyranny of the fast cut holds sway. Neither as viscerally brutal or as darkly humorous as The Sopranos, it is, in essence, a period drama about the birth of modern American power, both criminal and political. In an epic series full of riveting performances – Steve Buscemi's fast-talking politician "Nucky" Thompson, Michael Shannon's tortured psychotic federal prohibition agent Nelson Van Alden, Michael Pitt as the haunted war veteran-turned-gangster Jimmy Darmody – Macdonald's is the single character whose motivations are hidden, just as her trajectory keeps you guessing where, and how, it will end.

"They're writing it as we go along," she says, "which means you're in the dark about what will happen to your character. It was difficult for me at the start, the not knowing. In a sense every actor in the show is living in fear of being killed off. It's about gangsters. People get killed off all the time. It's an interesting way to work, that's for sure. To be honest, I didn't know what I was getting into, but it's worked out just fine." Like her life, in fact.

Boardwalk Empire: The Complete First Season by HBO Home Entertainment is now available on DVD and Blu-ray